Evaluating an Element of the Clarke Generalized Jacobian of a Piecewise Differentiable Function

Title

Evaluating an Element of the Clarke Generalized Jacobian of a Piecewise Differentiable Function

Publication Type
Book Chapter
Year of Publication
2012
Book Title
Recent Advances in Algorithmic Differentiation
Series Title
Lecture Notes in Computational Science and Engineering
Volume
87
Pagination
115-125
Publisher
Springer
City
Berlin Heidelberg
ISBN Number
978-3-642-30023-3
Abstract
The (Clarke) generalized Jacobian of a locally Lipschitz continuous function is a derivative-like set-valued mapping that contains slope information. Several methods for optimization and equation solving require evaluation of generalized Jacobian elements. However, since the generalized Jacobian does not satisfy calculus rules sharply, this evaluation can be difficult. In this work, a method is presented for evaluating generalized Jacobian elements of a nonsmooth function that is expressed as a finite composition of absolute value functions and continuously differentiable functions. The method makes use of the principles of automatic differentiation and the theory of piecewise differentiable functions, and is guaranteed to be computationally tractable relative to the cost of a function evaluation.
Notes
10.1007/978-3-642-30023-3_11