Sufficient descent directions in unconstrained optimization

XM An, DH Li, Y Xiao - Computational Optimization and Applications, 2011 - Springer
XM An, DH Li, Y Xiao
Computational Optimization and Applications, 2011Springer
Descent property is very important for an iterative method to be globally convergent. In this
paper, we propose a way to construct sufficient descent directions for unconstrained
optimization. We then apply the technique to derive a PSB (Powell-Symmetric-Broyden)
based method. The PSB based method locally reduces to the standard PSB method with
unit steplength. Under appropriate conditions, we show that the PSB based method with
Armijo line search or Wolfe line search is globally and superlinearly convergent for uniformly …
Abstract
Descent property is very important for an iterative method to be globally convergent. In this paper, we propose a way to construct sufficient descent directions for unconstrained optimization. We then apply the technique to derive a PSB (Powell-Symmetric-Broyden) based method. The PSB based method locally reduces to the standard PSB method with unit steplength. Under appropriate conditions, we show that the PSB based method with Armijo line search or Wolfe line search is globally and superlinearly convergent for uniformly convex problems. We also do some numerical experiments. The results show that the PSB based method is competitive with the standard BFGS method.
Springer
以上显示的是最相近的搜索结果。 查看全部搜索结果