A NONMONOTONE FILTER BARZILAI-BORWEIN METHOD FOR OPTIMIZATION

Yan Zhang, Wenyu Sun () and Liqun Qi
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Yan Zhang: Department of Mathematics, Jiangsu University of Science and Technology, Zhangjiagang 215600, China;
Wenyu Sun: School of Mathematical Sciences, Nanjing Normal University, Nanjing 210046, China
Liqun Qi: Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong, China

Asia-Pacific Journal of Operational Research (APJOR), 2010, vol. 27, issue 01, 55-69

Abstract: 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.

Keywords: Barzilai-Borwein method; filter method; watchdog technique; nonmonotone linesearch; global convergence; unconstrained optimization (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1142/S0217595910002582

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