A modified scaled memoryless BFGS preconditioned conjugate gradient method for unconstrained optimization

作者：Babaie Kafaki Saman^*

来源：4OR-A Quarterly Journal of Operations Research, 2013, 11(4): 361-374.

DOI：10.1007/s10288-013-0233-4

• Unconstrained optimization
• Scaled conjugate gradient method
• Modified secant equation
• Sufficient descent condition
• Global convergence

In order to propose a scaled conjugate gradient method, the memoryless BFGS preconditioned conjugate gradient method suggested by Shanno and the spectral conjugate gradient method suggested by Birgin and Martinez are hybridized following Andrei's approach. Since the proposed method is designed based on a revised form of a modified secant equation suggested by Zhang et al., one of its interesting features is applying the available function values in addition to the gradient values. It is shown that, for the uniformly convex objective functions, search directions of the method fulfill the sufficient descent condition which leads to the global convergence. Numerical comparisons of the implementations of the method and an efficient scaled conjugate gradient method proposed by Andrei, made on a set of unconstrained optimization test problems of the CUTEr collection, show the efficiency of the proposed modified scaled conjugate gradient method in the sense of the performance profile introduced by Dolan and More.

• 出版日期2013-12