Modified active set projected spectral gradient method for bound constrained optimization

作者：Xiao, Yun Hai^*; Hu, Qing Jie; Wei, Zengxin

来源：Applied Mathematical Modelling, 2011, 35(7): 3117-3127.

DOI：10.1016/j.apm.2010.09.011

• Bound constrained problem
• Spectral gradient method
• Gradient projection
• Nonmonotone line search
• Global convergence

In this paper, by means of an active set strategy, we present a projected spectral gradient algorithm for solving large-scale bound constrained optimization problems. A nice property of the active set estimation technique is that it can identify the active set at the optimal point without requiring strict complementary condition, which is potentially used to solve degenerated optimization problems. Under appropriate conditions, we show that this proposed method is globally convergent. We also do some numerical experiments by using some bound constrained problems from CUTEr library. The numerical comparisons with SPG, TRON, and L-BFGS-B show that the proposed method is effective and promising.

• 出版日期2011-7
• 单位广西大学; 湖南商学院; 河南大学