STUDYING THE RATE OF CONVERGENCE OF THE STEEPEST DESCENT OPTIMISATION ALGORITHM WITH RELAXATION

R. J. Haycroft
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R. J. Haycroft: Cardiff University, School of Mathematics, Senghennydd Road, Cardiff CF24 4AG, UK

Chapter 6 in Computer Aided Methods in Optimal Design and Operations, 2006, pp 49-58 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractGradient-type algorithms can be linked to algorithms for constructing optimal experimental designs for linear regression models. The asymptotic rate of convergence of these algorithms can be expressed through the asymptotic behaviour of an experimental design construction procedure. One well known gradient-type algorithm is the method of Steepest Descent. Here a generalised version of the Steepest Descent algorithm, with a relaxation coefficient is considered and the rate of convergence of this algorithm is investigated.

Keywords: Optimization; Optimal Design; Global Optimization; Optimal Control (search for similar items in EconPapers)
Date: 2006
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