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Projected Barzilai-Borwein methods for large-scale box-constrained quadratic programming

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Summary.

This paper studies projected Barzilai-Borwein (PBB) methods for large-scale box-constrained quadratic programming. Recent work on this method has modified the PBB method by incorporating the Grippo-Lampariello-Lucidi (GLL) nonmonotone line search, so as to enable global convergence to be proved. We show by many numerical experiments that the performance of the PBB method deteriorates if the GLL line search is used. We have therefore considered the question of whether the unmodified method is globally convergent, which we show not to be the case, by exhibiting a counter example in which the method cycles. A new projected gradient method (PABB) is then considered that alternately uses the two Barzilai-Borwein steplengths. We also give an example in which this method may cycle, although its practical performance is seen to be superior to the PBB method. With the aim of both ensuring global convergence and preserving the good numerical performance of the unmodified methods, we examine other recent work on nonmonotone line searches, and propose a new adaptive variant with some attractive features. Further numerical experiments show that the PABB method with the adaptive line search is the best BB-like method in the positive definite case, and it compares reasonably well against the GPCG algorithm of Moré and Toraldo. In the indefinite case, the PBB method with the adaptive line search is shown on some examples to find local minima with better solution values, and hence may be preferred for this reason.

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Authors and Affiliations

  1. State Key Laboratory of Scientific and Engineering Computing, Institute of Computational Mathematics and Scientific/Engineering computing, Academy of Mathematics and System Sciences, Chinese Academy of Sciences, PO Box 2719, Beijing, 100080, PR China

    Yu-Hong Dai

  2. Department of Mathematics, University of Dundee, Dundee, DD1 4HN, Scotland, UK

    Roger Fletcher

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  1. Yu-Hong Dai
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  2. Roger Fletcher
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Correspondence to Yu-Hong Dai.

Additional information

This work was supported by the EPRSC in UK (no. GR/R87208/01) and the Chinese NSF grant (no. 10171104).

Acknowledgement The authors would like to thank the two anonymous referees for their useful suggestions and comments.

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Dai, YH., Fletcher, R. Projected Barzilai-Borwein methods for large-scale box-constrained quadratic programming. Numer. Math. 100, 21–47 (2005). https://doi.org/10.1007/s00211-004-0569-y

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  • DOI: https://doi.org/10.1007/s00211-004-0569-y

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