A NONMONOTONE FILTER BARZILAI-BORWEIN METHOD FOR OPTIMIZATION

In this paper we present a new globalization strategy of the Barzilai-Borwein gradient method for large scale unconstrained optimization. Based on the filter technique introduced by Fletcher and Leyffer, a modified Barzilai-Borwein method is presented. We prove the global convergence of this method. Extensive numerical results on a set of CUTEr test problems show that the proposed method is competitive.

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Year of publication:	2010
Authors:	ZHANG, YAN ; SUN, WENYU ; QI, LIQUN
Published in:	Asia-Pacific Journal of Operational Research (APJOR). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-7019. - Vol. 27.2010, 01, p. 55-69
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Barzilai-Borwein method \| filter method \| watchdog technique \| nonmonotone linesearch \| global convergence \| unconstrained optimization

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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