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Monotone properties of Barzilai-Borwein Method

Presented by: 
Ya-xiang Yuan
Date: 
Wednesday 15th November 2017 - 15:00 to 16:00
Venue: 
INI Seminar Room 2
Abstract: 
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.



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