On the best choice of a damping sequence in iterative optimization methods

DOI10.5565/PUBLMAT_32288_11MaRDI QIDQ1111477zbMATH OpenOpenAlexFDO

Authors L. N. Vaserstein

Publication date 1988

Published in Publicacions Matemàtiques (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/41060

zbMATH Keywords

convergence ratedamping sequence

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Mathematical programming (90C99) 2-person games (91A05)

Review text

Some iterative methods of mathematical programming use a damping sequence \(\{\alpha_ t\}\) such that \(0\leq \alpha_ t\leq 1\) for all t, \(\alpha_ t\to 0\) as \(t\to \infty\), and \(\sum \alpha_ t=\infty\). For example, \(\alpha_ t=1/(t+1)\) in Brown's method for solving matrix games. In this paper, for a model class of iterative methods, the convergence rate for any damping sequence \(\{\alpha_ t\}\) depending only on time t is computed. This computation is used to find the best damping sequence.

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Cited in

(1)

• On the inclusion of damping terms in the hyperbolic MBO algorithm

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