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Algorithm for the minimization of discontinuous functions

Article  in  Cybernetics · March 1977

DOI: 10.1007/BF01073313

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A. M. Gupal Vladimir I. Norkin

National Academy of Sciences of Ukraine National Academy of Sciences of Ukraine
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 7. J. Kelley, Jr., "The cutting plane method for solving convex programs," SIAM. J., 8,703-712 (1960).
8. A. A. Anikeich, A. B. Gribov, and S. S. Surin, Daily-Shift Planning of Trucking Cargo SbApments by Computer
[in Russian], Transport, Moscow (1976).
9. L. V. Kantorovich and V. L. Makarov, "Optimal models in tong-range planning," in: The Application of Mathe-
matics in Economic Research [in Russian], Vol. 3, Moscow (1965), pp. 7-87.
10. V. L. Kantorovich, "Optimal utilization of rolling and tube mills," Mater.-Tekh. Snabzhenie, No. 4 (1970).
11. L. A. Melent'ev (editor), Methods for the Application of Computers in the Optimization of Energy Calculations
[in Russian], Nanka, Moscow (1964).
12. A. G. Aganbegyan, "A system of econometric models for optimal long-range territorial production planning," in:
Problems of National-Economy Optimum [in Russian], Nauka, Novosibirsk (!966), pp. 5~55.
13. I. Carney and T. Liptak, "Planning at two levels," in: Application of Mathematics in Economic Research [in
Russian], Vol. 3, Moscow (1965).
14. T. N. Pervozvanskaya and A. A. Pervozvanskii, "Allocation of territorial resources among many enterprises,"
I~konom. Mat. Metody, 2, No, 5, 682-689 (1966).
15. L. V. Kantorovich, Economic Calculation of Best Utilization of Resources [in Russian], hd. Akad. Nauk SSSR,
Moscow (1959).
16. Computational Methods for Choice of Optimal Project Decisions [in Russianl, Naukova Dumka, Kiev (1977).
17. V. R. Khachturov et al., "Computer system for projecting the general schemes of exploitation of oil fields," in:
Software Systems for the Solution of Optimal Planning Problems, Fourth All-Union Symposium. Abstracts;
Section I [in Russian], hal. Akad. Nauk SSSR, Tsentr. Ekonom. Inst., Moscow (1976);pp. 93-115.
18. V. M. Glushkov, Introduction to Automated Management Systems [in Russian], Tekhnika, Kiev(1972).
19. V. I. Shmyrev, "'Algorithm for the solution of a class of large-scale linear programs," in: Optimal Planning
[in Russian], No. 11, Nauka, Novosibirsk (1968), pp. 88-116.
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(1967).
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Research and Statistical Modelling [in Russian], No. 3, Izd. Leningr. Univ. (1975).

ALGORITHM FOR THE MINIMIZATION

OF DISCONTINUOUS FUNCTIONS

A. M. Gupal and V. I. Norkin UDC 519.2

A stochastic finite-difference method for the minimization of discontinuous functions is investigated.

The basic idea of the algorithm consists of approximating the discontinuous function by a sequence
of continuous smoothed functions that, except for the points of discontinuity, converge to the
original function.

The questions discussed in the present article are close to [ 1]. The basic idea of the numerical method
studied here is that in place of the discontinuous and essentially nonsmooth function f(x) there is studied a sequence
of continuous smoothed functions f(x, k) that, except for the points of discontinuity, converge to f(x) as k -~ o0.
A random vector, defining the direction of descent, is the statistical estimate of the gradient of the smoothed func-
tion. The most complicated question here was the investigation of the convergence of the method, since in the
minimization of discontinuous functions it is not possible to use the defined monotonicity properties of the algorithm.

Consider the finite-difference algorithm for the minimization of discontinuous functions, defined by the relations
n

Translated from Kibernetika, No. 2, pp. 73-75, March-April, 1977. OriNnal article submitted October 20, 1975.

This material is protected 1)3, copyright registered in the name o f Plenum Publishing CorporatioJL 227 West 17th Street, New York, N.Y. 1001t. No part
o f this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying,
microfilming, recording or otherwise, without written permission o f the publisher. A cop), o f this article is available from the publisher for $ 7. 50.

220
 ~ ~ ~,
+ ~ + T ..... ~ + ~ - f + ....

ei, (1)
x; ~- ~ - T ..... x~ + ~

where r~, i = 1. . . . . n, k = 0, 1. . . . . are independent random variables, uniformly distributed in the intervals
[ - % / 2 , % / 2 ] ; ~ik is the sum of two independent random variables, uniformly distributed in the same intervals; cxk
is a sequence of positive numbers, tending to zero; and Ok is the step size.

In order that the problem of finding a minimum of a discontinuous function have sense, we shall assume that
f(x) is a semicontinuous-from-below function, i.e., if {xk} , k ~ ~, is an arbitrary sequence o f points, converging to
x, and the limit of the sequence r(x ~). . . . . f (x~) exists, then lim f (xk) >i i ( x ) . The function f ( x ) is assumed to be
k-~eo

continuous and differentiable almost everywhere and is bounded in any bounded domain of E n.

Let us define the set X* of solutions to the problem of minimizing discontinuous functions. We shall de-
note by S(x) the set of limit points of the sequence of vectors, whose i-th component is equal to
1 ['/xk, , x ~ + ek ) ( eu k)]
~]1'" T ..... ~-~ - ~ ; ..... ~ - ~ - ..... ". '
where x k is an arbitrary sequence of points, converging to x, ek ~ O. The point x* E X* if 0 E co S(x*). It
can be stated that the set X* satisfies the necessary condition of the extremum.

Tile method (1) can be justified in the following way. Consider the function
~k ~k
xl+ - T xn+ "T"

[(x,k)
= ~ cz--~l ~f d... ~ /(ti ..... tn) d l l . . . d t n ,

xt-- T Xn" 2
%
The flmction f(x, k) is continuous, but nondifferentiable; in any bounded %domain it satisfies the Lipsc~tz condition
with constant L k = C[%, where C is a certain constant. If the function f ( x , k) is averaged a second time, then
the function
xn+ -T"
f (x, k) = o~"'~ "'" ~ (y' k) d y , . . , dYn (2)
ak czk
x,- T xn-
becomes smooth. Tile partial derivative af(x, k)/Ox 1 is equal to
ak ~k
xj+ " T xn+ --$-

~ ox----T--= ~ "'" ;It( x, + T " o,

c~k ~k
~'-'2- ~n--T"

Y2. . . . . Y~, -- t - - -~- , Yz . . . . . Yn, k dy2.. .

rk c~k
2

. . . . x~ + y~, k - - [ x~ - - -~-, xz + Vz. . . . . x~ +

y~,k dyz...dy~

221
 T T T T

~k c*k c*k c~k

--~- --'T" ~

x ~ + y ~ + z z ..... x n + % + z . -- ~--T +z*'

x,~g,+za, .... x,~ +u,, +z,)]dz~ ... az,} @, ... @,. (3)

The other partial derivatives of the function f(x, k) (2) are calculated analogously. From formula (3) it follows
that the gradient V f ~x, k~ satisfies the Lipschitz condition with constant Lx = C/a~.

Let ~(x, k) be a random vector, defining the direction of descent in the method (1). Then it is easily noted
that .M~ (x, k) = Vf (x, k).

From formula (3) and the definition of the set S(x) we have directly the following lemma.

LEMMA. Let x~m--~x, V 1(xum,/~)-+g, ~k'--~0 ; then g ~ co S(x).

Without loss of generality, we assume that all of the points x k, k = 0, 1. . . . . belong to a certain bounded
set E n.

THEOREM. Assume that the conditions

OOj

k=O ~=0

]r162 --+0, ak--~O, /~---~

(Zhph
hold.

Then with probability 1 there exists a subsequence Xkm ~ X* E X* for which lim V f (xk% kr~) = O.

Proof. For the functions f(x, k) there holds the Lagrange formula
I (x~+1, k) = : (x~, k) + (v/(x~ + 0 (x~ + ' - xk), ~),
(x'~+ ~- - x ~) = / : (x~,/~) + (Vl (x~ + 0 (x~+ ~ - -
- - xk), k) - - Vf ( xk, k), x~+ 1 - - x ~) + (Vf ( x~, k), xk+ ~- - x ~) < [ (x ~, k) - -

- - Ok II vf (x ~, k) ]? + C + ok (vf (x~, k) - -

- - ~ (x k, k), V[ (x% k)), 0 ~ 0 ~< I.

It is easily noted that
G~k+l
I i (x k+~, k + I) - - f (x, k) I < "- t ~ h
O~k

Therefore, from the preceding inequality we have

. (ph) 2 ,~k--c~k+,l +

+ Ok(V f( xk, t0 -- ~ (x ~, k), Vf (x% te)). (4)

We shall show that there exists a subsequence x km such that lira Vf(X k'', kin)= 0. Assume the contrary:
km-c.eo

There exist e > 0 and k- for which [1V f (x, k) II ~ e, k > ~.

We note that with probability 1

Pk (Vf (x~, ~) - - ~ (x k,/0, Vf (x ~, k)) < co,

k=O

222
since 11~(x, k)It ~< C/O~k, 11V[(x, k) II ~< C/ak, and ~ < c~ [21. From inequality (4) there follows

_ _ ~ _ -,-/P~\~
f(xk+L'k+l)<f(x~'k) 2 P ~ t ~ \ ~ ) +P~(Vf(X~,k)--~(Xk, k),Vf(Xk,~)) (5)
since for sufficiently large k
C I t~/r - - O~k+ l I 82
~hPk ~: 2 "
Summing (5), we have
#--1 k~l k--I

2 ~ p' + C + 2 o, (vf (x,, s) -- ~ (x,, s), vf (x,, s)).

s=i s--~ s=~

Passing to the limit as k ~ oo, we obtain a contradiction with the boundedness of f(x, k) since the series ~ p~ = pp.

Thdrefore, there exists a subsequence xkm -~ X such that lim V/ (xk% k,,) = 0 . By the lemma 0 E co S(x)
km-~*o
and therefore x E X*. Q.E.D.

LITERATURE CITED

1. A. M. Gupal, "A method for the minimization of almost differentiable functions," Kibernetika, No. 1 (1977).
2. M. Loire, Probability Theory, 3rd ed., Van Nostrand Reinhold, Princeton (1963).

A PROBLEM OF NONSTATIONARY OPTIMIZATION

E. A. Nurminskii UDC 519.3:330.115

Convergence is demonstrated for a gradient method of tracking the extremum of a nonstationary

objective function, dependent on uncontrolled parameters with form of variation t h a t is not known
in detail.

Great theoretical and practical interest is presented by the following problem of nonstationary optimization:

m in f (x, u) = q~(u), (1)

x
where relative to the parameter u = (ul, ..., u m ) only the domain of variation U ~ E ~ is known, and during the pro-
cess of solving problem (1) only certain values of these parameters become known, composing a sequence {u'} ~ U.
In this case the problem will be posed of tracking the minimum (1) for a known sequence {u~}, i.e., the construction
of a sequence {x,} such that

lira (f (x', u s) - - q~ (uS)) = 0. (2)

S-,~oo

Under various assumptions with respect to the sequence {us} and the objective function f(x, u) a similar problem was
considered in [1-5]. In [t, 2] the problem (1), (2) was solved on the assumption of a known law of variation of
{u'} to within certain constants, which reduced the given problem to the finding of these constants. In [3] very

Translated from Kibernetika, No. 2, pp. 76-77, March-April, 1977. Original article submitted November 18, 1975.

This material is protected by copyright registered in the name o f Plenum Publishing Corporation, 227 West 17th Street, New York, N.Y. 10011. No part
o f this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying,
microfilming, recording or otherwise, without written permission o f the publisher. A copy o f this article is available from the publisher for $7.50.

223

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