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Monotone properties of Barzilai-Borwein Method

Presented by: 
Ya-xiang Yuan
Wednesday 15th November 2017 - 15:00 to 16:00
INI Seminar Room 2
In Optimization, the classical steepest descent method performs poorly, converges linearly, and is badly affected by ill-conditioning. The Barzilai-Borwein (BB) method is a two-point step size gradient method, where the step size is derived from a two-point approximation to the secant equation underlying quasi-Newton. Pairing with non-monotone linear search, BB gradient methods work every well on general unconstrained differentiable problems. Though well known as a stepsize technique for the gradient method, however, one undesirable property of the BB method is nonmonotone. In this talk, we discuss some monotone properties of the BB method.

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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons