Constrained Optimization of Discontinuous Systems
Abstract
In this paper we extend the results of Ermoliev, Norkin and Wets [8] and Ermoliev and Norkin [7] to the case of constrained discontinuous optimization problems. In contrast to [7] the attention is concentrated on the proof of general optimality conditions for problems with nonconvex feasible sets. Easily implementable random search technique is proposed.
KEYWORDS: discontinuous systems, necessary optimality conditions, averaged functions, mollifier subgradients, stochastic optimization
KEYWORDS: discontinuous systems, necessary optimality conditions, averaged functions, mollifier subgradients, stochastic optimization