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Subspace Barzilai-Borwein Gradient Method for Large-Scale Bound Constrained Optimization

Subspace Barzilai-Borwein Gradient Method for Large-Scale Bound Constrained Optimization An active set subspace Barzilai-Borwein gradient algorithm for large-scale bound constrained optimization is proposed. The active sets are estimated by an identification technique. The search direction consists of two parts: some of the components are simply defined; the other components are determined by the Barzilai-Borwein gradient method. In this work, a nonmonotone line search strategy that guarantees global convergence is used. Preliminary numerical results show that the proposed method is promising, and competitive with the well-known method SPG on a subset of bound constrained problems from CUTEr collection. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Subspace Barzilai-Borwein Gradient Method for Large-Scale Bound Constrained Optimization

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Publisher
Springer Journals
Copyright
Copyright © 2008 by Springer Science+Business Media, LLC
Subject
Mathematics; Numerical and Computational Methods ; Mathematical Methods in Physics; Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
ISSN
0095-4616
eISSN
1432-0606
DOI
10.1007/s00245-008-9038-9
Publisher site
See Article on Publisher Site

Abstract

An active set subspace Barzilai-Borwein gradient algorithm for large-scale bound constrained optimization is proposed. The active sets are estimated by an identification technique. The search direction consists of two parts: some of the components are simply defined; the other components are determined by the Barzilai-Borwein gradient method. In this work, a nonmonotone line search strategy that guarantees global convergence is used. Preliminary numerical results show that the proposed method is promising, and competitive with the well-known method SPG on a subset of bound constrained problems from CUTEr collection.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Oct 1, 2008

References