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中国科学院大学学报 ›› 2018, Vol. 35 ›› Issue (3): 289-296.DOI: 10.7523/j.issn.2095-6134.2018.03.001

• 数学与物理学 •    下一篇

等式约束二次规划问题的新的梯度投影算法

李明强, 郭田德, 韩丛英   

  1. 中国科学院大学数学科学学院, 北京 100049
  • 收稿日期:2017-01-28 修回日期:2017-04-12 发布日期:2018-05-15
  • 通讯作者: 韩丛英
  • 基金资助:
    Supported by National Natural Science Fund of China(11101420,71271204,11331012)

New project gradient methods for quadratic programming with linear equality constraints

LI Mingqiang, GUO Tiande, HAN Congying   

  1. School of Mathematical Sciences, University of Chinese Academy of Sciences, Beijing 100049, China
  • Received:2017-01-28 Revised:2017-04-12 Published:2018-05-15
  • Supported by:
    Supported by National Natural Science Fund of China(11101420,71271204,11331012)

摘要: 近些年来,众多学者提出基于新步长选择策略的加速梯度投影算法求解大规模优化问题。本文针对线性约束二次规划问题提出两种基于新步长的梯度投影算法。一种是基于采用自适应线搜索和Barzilai-Borwein步长的非单调投影算法。另一种是基于Yuan步长的单调投影算法。在较弱的假设条件下,给出这两种算法的全局收敛性。数值实验表明新算法比传统的梯度投影算法求解效率更高。

关键词: Barzilai-Borwein步长, 线性等式, 投影梯度

Abstract: Recently, researchers proposed many accelerated project gradient methods based on new step length choice rules for large scale optimization problems. In this paper, we propose two project gradient methods with variants of new selection rules for quadratic programming with linear equality constraints. One is a non-monotone project gradient method for which an adaptive line search method is adopted and the Barzilai-Borwein step size is applied, and the other is a monotoneproject gradient method with Yuan step size. We give the global convergence of these two methods under mild assumptions. Numerical experiments indicate that both the new methods are more efficient than traditional project gradient methods.

Key words: Barzilai-Borwein step size, linear equality, project gradient

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