Article ID: | iaor19921524 |
Country: | United States |
Volume: | 17 |
Issue: | 1 |
Start Page Number: | 112 |
End Page Number: | 131 |
Publication Date: | Feb 1992 |
Journal: | Mathematics of Operations Research |
Authors: | Higle Julia L. |
Studies of the convergence of algorithms often revolve around the existence of a function with respect to which monotonic descent is required. This paper shows that under relatively lenient conditions, ‘stage-dependent descent’ (not necessarily monotonic) is sufficient to guarantee convergence. This development also provides the impetus to examine optimization algorithms. It shows that one of the important avenues in the study of convergence, namely, the theory of epi-convergence imposes stronger conditions than are necessary to establish the convergence of an optimization algorithm. Working from a relaxation of epi-convergence, the paper introduces the notion of ∂-compatibility, and proves several results that permit relaxations of conditions imposed by previous approaches to algorithmic convergence. Finally, to illustrate the usefulness of the concepts, it combines stage-dependent descent with results derivable from ∂-compatibility to provide a basis for the convergence of a general algorithmic statement that might be used for stochastic and nondifferentiable optimization.