The Minimization of Discontinuous Functions: Mollifier Subgradients

To minimize discontinuous functions that arise in the context of systems with jumps, for example, we propose a new approach based on approximation via averaged functions (obtained by convolution with mollifiers). The properties of averaged functions are studied, after it is shown that they can be used in an approximation scheme consistent with minimization. A new notion of subgradient is introduced based on approximations generated by mollifiers, and is exploited in the design of minimization procedures.
KEYWORDS: impulse control, discrete events systems, averaged functions, subgradients, subdifferentiability, stochastic quasi-gradients, epi-convergence

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