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A scaled nonlinear conjugate gradient algorithm for unconstrained optimization

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The best spectral conjugate gradient algorithm by (Birgin, E. and Martinez, J.M., 2001, A spectral conjugate gradient method for unconstrained optimization. Applied Mathematics and Optimization, 43, 117-128). which is mainly a scaled variant of (Perry, J.M., 1977, A class of Conjugate gradient algorithms with a two step varaiable metric memory, Discussion Paper 269, Center for Mathematical Studies in Economics and Management Science, Northwestern University), is modified in such a way as to overcome the lack of positive definiteness of the matrix defining the search direction. This modification is based on the quasi-Newton BFGS updating formula. The computational scheme is embedded into the restart philosophy of Beale-Powell. The parameter scaling the gradient is selected as spectral gradient or in an anticipative way by means of a formula using the function values in two successive points. In very mild conditions it is shown that, for strongly convex functions, the algorithm is global convergent. Computational results and performance profiles for a set consisting of 700 unconstrained optimization problems show that this new scaled nonlinear conjugate gradient algorithm substantially outperforms known conjugate gradient methods including: the spectral conjugate gradient SCG by Birgin and Martinez, the scaled Fletcher and Reeves, the Polak and Ribiere algorithms and the CONMIN by (Shanno, D.F. and Phua, K.H., 1976, Algorithm 500, Minimization of unconstrained multivariate functions. ACM Transactions on Mathematical Software, 2, 87-94).
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Keywords: BFGS formula; conjugate gradient method; numerical comparisons; spectral gradient method; unconstrained optimization

Document Type: Research Article

Affiliations: Research Institute for Informatics, Center for Advanced Modeling and Optimization, Bucharest 1, Romania

Publication date: 01 January 2008

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