New adaptive Barzilai--Borwein step size and its application in solving large-scale optimization problems

Ting Li, Zhong Wan

Abstract


We propose a new adaptive and composite Barzilai–Borwein (BB) step size by integrating the advantages of such existing step sizes. Particularly, the proposed step size is an optimal weighted mean of two classical BB step sizes and the weights are updated at each iteration in accordance with the quality of the classical BB step sizes. Combined with the steepest descent direction, the adaptive and composite BB step size is incorporated into the development of an algorithm such that it is efficient to solve large-scale optimization problems. We prove that the developed algorithm is globally convergent and it R-linearly converges when applied to solve strictly convex quadratic minimization problems. Compared with the state-of-the-art algorithms available in the literature, the proposed step size is more efficient in solving ill-posed or large-scale benchmark test problems.


doi:10.1017/S1446181118000263

Keywords


nonlinear program, step size, algorithm, convergence, large-scale optimization.



DOI: https://doi.org/10.21914/anziamj.v61i0.12874



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ANZIAM Journal, ISSN 1446-8735, copyright Australian Mathematical Society.