Modified nonmonotone Armijo line search for descent method

Authors:
Zhenjun Shi;Shengquan Wang
Affiliations:
Department of Mathematics and Computer Science, Central State University, Wilberforce, USA;Department of Computer and Information Science, The University of Michigan, Dearborn, USA 48128
Venue:
Numerical Algorithms
Year:
2011

Citing 19
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Abstract

Nonmonotone line search approach is a new technique for solving optimization problems. It relaxes the line search range and finds a larger step-size at each iteration, so as to possibly avoid local minimizer and run away from narrow curved valley. It is helpful to find the global minimizer of optimization problems. In this paper we develop a new modification of matrix-free nonmonotone Armijo line search and analyze the global convergence and convergence rate of the resulting method. We also address several approaches to estimate the Lipschitz constant of the gradient of objective functions that would be used in line search algorithms. Numerical results show that this new modification of Armijo line search is efficient for solving large scale unconstrained optimization problems.