A Gradient-based Continuous Method for Large-scale Optimization Problems

Authors:
Li-Zhi Liao;Liqun Qi;Hon Wah Tam
Affiliations:
Department of Mathematics, Hong Kong Baptist University, Kowloon Tong, PR China;Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Hong Kong;Department of Computer Science, Hong Kong Baptist University, Kowloon Tong, PR China
Venue:
Journal of Global Optimization
Year:
2005

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Abstract

In this paper, we study a gradient-based continuous method for large-scale optimization problems. By converting the optimization problem into an ODE, we are able to show that the solution trajectory of this ODE tends to the set of stationary points of the original optimization problem. We test our continuous method on large-scale problems available in the literature. The simulation results are very attractive.