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Hybrid limited memory gradient projection methods for box-constrained optimization problems

Serena Crisci (), Federica Porta (), Valeria Ruggiero () and Luca Zanni ()
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Serena Crisci: University of Campania “L. Vanvitelli”
Federica Porta: University of Modena and Reggio Emilia
Valeria Ruggiero: University of Ferrara
Luca Zanni: University of Modena and Reggio Emilia

Computational Optimization and Applications, 2023, vol. 84, issue 1, No 7, 189 pages

Abstract: Abstract Gradient projection methods represent effective tools for solving large-scale constrained optimization problems thanks to their simple implementation and low computational cost per iteration. Despite these good properties, a slow convergence rate can affect gradient projection schemes, especially when high accurate solutions are needed. A strategy to mitigate this drawback consists in properly selecting the values for the steplength along the negative gradient. In this paper, we consider the class of gradient projection methods with line search along the projected arc for box-constrained minimization problems and we analyse different strategies to define the steplength. It is well known in the literature that steplength selection rules able to approximate, at each iteration, the eigenvalues of the inverse of a suitable submatrix of the Hessian of the objective function can improve the performance of gradient projection methods. In this perspective, we propose an automatic hybrid steplength selection technique that employs a proper alternation of standard Barzilai–Borwein rules, when the final active set is not well approximated, and a generalized limited memory strategy based on the Ritz-like values of the Hessian matrix restricted to the inactive constraints, when the final active set is reached. Numerical experiments on quadratic and non-quadratic test problems show the effectiveness of the proposed steplength scheme.

Keywords: Box-constrained optimization; Gradient projection methods; Steplength selection rule; Ritz-like values; 65K05; 90C30; 49M37 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10589-022-00409-4

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