Volume 24, Issue 2
A New Stepsize for the Steepest Descent Method

Ya-Xiang Yuan

DOI:

J. Comp. Math., 24 (2006), pp. 149-156.

Published online: 2006-04

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  • Abstract

The steepest descent method is the simplest gradient method for optimization. It is well known that exact line searches along each steepest descent direction may converge very slowly. An important result was given by Barzilar and Borwein, which is proved to be superlinearly convergent for convex quadratic in two dimensional space, and performs quite well for high dimensional problems. The BB method is not monotone, thus it is not easy to be generalized for general nonlinear functions unless certain non-monotone techniques being applied. Therefore, it is very desirable to find stepsize formulae which enable fast convergence and possess the monotone property. Such a stepsize $\alpha_k$ for the steepest descent method is suggested in this paper. An algorithm with this new stepsize in even iterations and exact line search in odd iterations is proposed. Numerical results are presented, which confirm that the new method can find the exact solution within 3 iteration for two dimensional problems. The new method is very efficient for small scale problems. A modified version of the new method is also presented, where the new technique for selecting the stepsize is used after every two exact line searches. The modified algorithm is comparable to the Barzilar-Borwein method for large scale problems and better for small scale problems.

  • Keywords

Steepest descent Line search Unconstrained optimization Convergence

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@Article{JCM-24-149, author = {}, title = {A New Stepsize for the Steepest Descent Method}, journal = {Journal of Computational Mathematics}, year = {2006}, volume = {24}, number = {2}, pages = {149--156}, abstract = { The steepest descent method is the simplest gradient method for optimization. It is well known that exact line searches along each steepest descent direction may converge very slowly. An important result was given by Barzilar and Borwein, which is proved to be superlinearly convergent for convex quadratic in two dimensional space, and performs quite well for high dimensional problems. The BB method is not monotone, thus it is not easy to be generalized for general nonlinear functions unless certain non-monotone techniques being applied. Therefore, it is very desirable to find stepsize formulae which enable fast convergence and possess the monotone property. Such a stepsize $\alpha_k$ for the steepest descent method is suggested in this paper. An algorithm with this new stepsize in even iterations and exact line search in odd iterations is proposed. Numerical results are presented, which confirm that the new method can find the exact solution within 3 iteration for two dimensional problems. The new method is very efficient for small scale problems. A modified version of the new method is also presented, where the new technique for selecting the stepsize is used after every two exact line searches. The modified algorithm is comparable to the Barzilar-Borwein method for large scale problems and better for small scale problems. }, issn = {1991-7139}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/jcm/8741.html} }
TY - JOUR T1 - A New Stepsize for the Steepest Descent Method JO - Journal of Computational Mathematics VL - 2 SP - 149 EP - 156 PY - 2006 DA - 2006/04 SN - 24 DO - http://doi.org/ UR - https://global-sci.org/intro/article_detail/jcm/8741.html KW - Steepest descent KW - Line search KW - Unconstrained optimization KW - Convergence AB - The steepest descent method is the simplest gradient method for optimization. It is well known that exact line searches along each steepest descent direction may converge very slowly. An important result was given by Barzilar and Borwein, which is proved to be superlinearly convergent for convex quadratic in two dimensional space, and performs quite well for high dimensional problems. The BB method is not monotone, thus it is not easy to be generalized for general nonlinear functions unless certain non-monotone techniques being applied. Therefore, it is very desirable to find stepsize formulae which enable fast convergence and possess the monotone property. Such a stepsize $\alpha_k$ for the steepest descent method is suggested in this paper. An algorithm with this new stepsize in even iterations and exact line search in odd iterations is proposed. Numerical results are presented, which confirm that the new method can find the exact solution within 3 iteration for two dimensional problems. The new method is very efficient for small scale problems. A modified version of the new method is also presented, where the new technique for selecting the stepsize is used after every two exact line searches. The modified algorithm is comparable to the Barzilar-Borwein method for large scale problems and better for small scale problems.
Ya-Xiang Yuan. (1970). A New Stepsize for the Steepest Descent Method. Journal of Computational Mathematics. 24 (2). 149-156. doi:
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