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Applied Mathematics and Optimization, Vol.58, No.2, 275-290, 2008
Subspace Barzilai-Borwein gradient method for large-scale bound constrained optimization
An active set subspace Barzilai-Borwein gradient algorithm for large-scale bound constrained optimization is proposed. The active sets are estimated by an identification technique. The search direction consists of two parts: some of the components are simply defined; the other components are determined by the Barzilai-Borwein gradient method. In this work, a nonmonotone line search strategy that guarantees global convergence is used. Preliminary numerical results show that the proposed method is promising, and competitive with the well-known method SPG on a subset of bound constrained problems from CUTEr collection.
Keywords:bound constrained problem;Barzilai-Borwein gradient method;nonmonotone line search;stationary point