A three-step regularized method of linearization for solving minimization problems

MaRDI QIDQ1902856zbMATH OpenFDO

Authors F. P. Vasil'ev, Angelia Nedić, M. D. Yachimovich

Publication date 3 January 1996

Published in Russian Mathematics (Search for Journal in Brave)

Hilbert space method of regularization minimization multistep methods quadratic mathematical programming Tikhonov regularization

Mathematics Subject Classification ID

Numerical solutions to equations with nonlinear operators (65J15) Numerical mathematical programming methods (65K05) Quadratic programming (90C20) Markov and semi-Markov decision processes (90C40)

Review text

Consider a minimization problem \[ J(u)\to \inf,\quad u\in U= \{u\in U_0: g_i(u)\leq 0,\;i= 1,\dots, m\},\tag{1} \] where \(U_0\) is a given convex set in a Hilbert space \(H\). \(J(u)\) and \(g_i(u)\) re Fréchet differentiable functions defined on \(U_0\). \(\langle .,.\rangle\) is the scalar product in \(H\), \(|u|= \langle u, u\rangle^{1/2}\). To solve equation (1) which is unstable against input data perturbations, a method of regularization is proposed. Consider the iteration process as follows: \[ u_{k+ 1}= P_{U_k}[u_k- \beta_k(u_{k- 1}- u_k)- \sigma_k(u_{k- 2}- u_{k- 1})- \gamma_k t'(u_k)],\;k\geq 2,\tag{2} \] where \(u_0, u_1, u_2\in U_0\) are given points. \(t_k'(u)= J_k'(u)+ \alpha_k u\) is an approximate value of the gradient of the Tikhonov function \(T_k(u)= J(u)+ (\alpha_k/2)|u|^2\), \(u\in U_0\), \(P_{U_k}(z)\) is the projection of \(z\) on the set \[ U_k= \{z\in U_0: g_{ik}(u_k)+ \langle g_{ik}'(u_i), z- u_k\rangle\leq \theta(1+ |u_k|^2),\;i= 1,\dots, m\},\tag{3} \] \(\alpha_k\), \(\beta_k\), \(\sigma_k\), \(\gamma_k\) and \(\theta_k\) are parameters. \(g_{ik}(u)\) are known approximations of unknown exact values \(g_i(u)\). \(u_{k+ 1}\) in equations (2-3) is a solution of the equivalent problem \[ 0.5|z- u_k+ \beta_k(u_{k-1}- u_k)+ \sigma_k(u_{k- 2}- u_{k- 1})+ \gamma_k t'(u_k)|^2\to \inf,\quad z\in U_k. \] Sufficient conditions ensuring that a sequence \(\{u_k\}\) generated by equations (2-3) converges in \(H\) to a normal solution of equation (1) are proved.

Recommendations

Cited in

(22)

This page was built for publication: A three-step regularized method of linearization for solving minimization problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1902856)