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On the worst-case evaluation complexity of non-monotone line search algorithms

Author

Listed:
  • Geovani N. Grapiglia

    (Universidade Federal do Paraná)

  • Ekkehard W. Sachs

    (University of Trier)

Abstract

A general class of non-monotone line search algorithms has been proposed by Sachs and Sachs (Control Cybern 40:1059–1075, 2011) for smooth unconstrained optimization, generalizing various non-monotone step size rules such as the modified Armijo rule of Zhang and Hager (SIAM J Optim 14:1043–1056, 2004). In this paper, the worst-case complexity of this class of non-monotone algorithms is studied. The analysis is carried out in the context of non-convex, convex and strongly convex objectives with Lipschitz continuous gradients. Despite de nonmonotonicity in the decrease of function values, the complexity bounds obtained agree in order with the bounds already established for monotone algorithms.

Suggested Citation

  • Geovani N. Grapiglia & Ekkehard W. Sachs, 2017. "On the worst-case evaluation complexity of non-monotone line search algorithms," Computational Optimization and Applications, Springer, vol. 68(3), pages 555-577, December.
    • Handle: RePEc:spr:coopap:v:68:y:2017:i:3:d:10.1007_s10589-017-9928-3
    DOI: 10.1007/s10589-017-9928-3
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    References listed on IDEAS

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    1. Birgin, Ernesto G. & Martínez, Jose Mario & Raydan, Marcos, 2014. "Spectral Projected Gradient Methods: Review and Perspectives," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 60(i03).
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    3. J. M. Martínez & M. Raydan, 2017. "Cubic-regularization counterpart of a variable-norm trust-region method for unconstrained minimization," Journal of Global Optimization, Springer, vol. 68(2), pages 367-385, June.
    4. Geovani Nunes Grapiglia & Jinyun Yuan & Ya-xiang Yuan, 2016. "Nonlinear Stepsize Control Algorithms: Complexity Bounds for First- and Second-Order Optimality," Journal of Optimization Theory and Applications, Springer, vol. 171(3), pages 980-997, December.
    5. NESTEROV, Yurii & POLYAK, B.T., 2006. "Cubic regularization of Newton method and its global performance," LIDAM Reprints CORE 1927, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    Cited by:

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