Studying Convergence of Gradient Algorithms Via Optimal Experimental Design Theory

R. Haycroft (), L. Pronzato (), H. P. Wynn () and A. Zhigljavsky ()
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R. Haycroft: Cardiff University, School of Mathematics
L. Pronzato: Laboratoire I3S, CNRS - UNSA, Les Algorithmes – Bˆat. Euclide B
H. P. Wynn: London School of Economics and Political Science
A. Zhigljavsky: Cardiff University,School of Mathematics

Chapter 2 in Optimal Design and Related Areas in Optimization and Statistics, 2009, pp 13-37 from Springer

Abstract: Summary We study the family of gradient algorithms for solving quadratic optimization problems, where the step-length γ k is chosen according to a particular procedure. To carry out the study, we re-write the algorithms in a normalized form and make a connection with the theory of optimum experimental design. We provide the results of a numerical study which shows that some of the proposed algorithms are extremely efficient.

Date: 2009
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DOI: 10.1007/978-0-387-79936-0_2

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