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A Nonmonotone Filter Barzilai-Borwein Method For Optimization

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  • YAN ZHANG

    (Department of Mathematics, Jiangsu University of Science and Technology, Zhangjiagang 215600, China;
    School of Mathematical Sciences, Nanjing Normal University, Nanjing 210046, 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)

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.

Suggested Citation

  • Yan Zhang & Wenyu Sun & Liqun Qi, 2010. "A Nonmonotone Filter Barzilai-Borwein Method For Optimization," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 27(01), pages 55-69.
    • Handle: RePEc:wsi:apjorx:v:27:y:2010:i:01:n:s0217595910002582
    DOI: 10.1142/S0217595910002582
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    References listed on IDEAS

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    1. Wenyu Sun & Ya-Xiang Yuan, 2006. "Optimization Theory and Methods," Springer Optimization and Its Applications, Springer, number 978-0-387-24976-6, June.
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    Cited by:

    1. Dan Xue & Wenyu Sun & Liqun Qi, 2014. "An alternating structured trust region algorithm for separable optimization problems with nonconvex constraints," Computational Optimization and Applications, Springer, vol. 57(2), pages 365-386, March.

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