A regularized limited memory subspace minimization conjugate gradient method for unconstrained optimization

DOI10.1007/S11075-023-01559-0arXiv2301.02863MaRDI QIDQ6141538FDOQ6141538

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Publication date: 19 December 2023

Published in: Numerical Algorithms (Search for Journal in Brave)

Abstract: In this paper, based on the limited memory techniques and subspace minimization conjugate gradient (SMCG) methods, a regularized limited memory subspace minimization conjugate gradient method is proposed, which contains two types of iterations. In SMCG iteration, we obtain the search direction by minimizing the approximate quadratic model or approximate regularization model. In RQN iteration, combined with regularization technique and BFGS method, a modified regularized quasi-Newton method is used in the subspace to improve the orthogonality. Moreover, some simple acceleration criteria and an improved tactic for selecting the initial stepsize to enhance the efficiency of the algorithm are designed. Additionally, an generalized nonmonotone line search is utilized and the global convergence of our proposed algorithm is established under mild conditions. Finally, numerical results show that, the proposed algorithm has a significant improvement over ASMCG_PR and is superior to the particularly well-known limited memory conjugate gradient software packages CG_DESCENT (6.8) and CGOPT(2.0) for the CUTEr library.

Full work available at URL: https://arxiv.org/abs/2301.02863

zbMATH Keywords

orthogonalitylimited memoryquasi-Newton methodregularization modelsubspace minimization conjugate gradient method

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Numerical methods based on nonlinear programming (49M37)

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Cited In (3)

• Limited memory restarted \(\ell^p\)-\(\ell^q\) minimization methods using generalized Krylov subspaces
• New subspace minimization conjugate gradient methods based on regularization model for unconstrained optimization
• A subspace derivative-free projection method for convex constrained nonlinear equations

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