TY - JOUR
T1 - A nonmonotone inexact Newton method for unconstrained optimization
AU - Gao, Huan
AU - Zhang, Hai Bin
AU - Li, Zhi Bao
AU - Tadjouddine, Emmanuel
N1 - Funding Information:
The authors would like to thank Prof. Yu-Hong Dai from Chinese Academy of Sciences for discussion on this paper and careful checking on an early version of this manuscript, and they would like to thank Piaoyang Qi for his help on the numerical experiments. The authors also thank the anonymous referees very for their patient and valuable comments, which improved the quality of this paper greatly. This work was supported by National Natural Science Foundation of China (Grant No. 61179033), by Collaborative Innovation Center on Beijing Society-building and Social Governance and by China Postdoctoral Science Foundation (No. 2014M561081)
Publisher Copyright:
© 2015, Springer-Verlag Berlin Heidelberg.
PY - 2017/6/1
Y1 - 2017/6/1
N2 - It is well known that the Newton method has a second order rate of convergence and that it is widely used to solve optimization problems and nonlinear equations which arise from computational science, engineering analysis and other applications. However, two big disadvantages hinder its application: high computational cost for large scale problems and poor global performance in some complicated and difficult problems. Some inexact Newton methods have emerged over time. Among them, the Newton preconditioned conjugate gradient method is the most efficient and popular approach to overcome the first shortcoming while keeping rapid convergence. In this paper, we have improved the global performance of the inexact Newton method by developing a nonmonotone line search technique. We have also proved the global convergence of the proposed method under some conditions. Numerical experiments on a set of standard test problems are reported. They have shown that the proposed algorithm is promising.
AB - It is well known that the Newton method has a second order rate of convergence and that it is widely used to solve optimization problems and nonlinear equations which arise from computational science, engineering analysis and other applications. However, two big disadvantages hinder its application: high computational cost for large scale problems and poor global performance in some complicated and difficult problems. Some inexact Newton methods have emerged over time. Among them, the Newton preconditioned conjugate gradient method is the most efficient and popular approach to overcome the first shortcoming while keeping rapid convergence. In this paper, we have improved the global performance of the inexact Newton method by developing a nonmonotone line search technique. We have also proved the global convergence of the proposed method under some conditions. Numerical experiments on a set of standard test problems are reported. They have shown that the proposed algorithm is promising.
KW - Global convergence
KW - Inexact Newton method
KW - Nonmonotone line search
KW - Preconditioned conjugate gradient
UR - http://www.scopus.com/inward/record.url?scp=84949679792&partnerID=8YFLogxK
U2 - 10.1007/s11590-015-0976-2
DO - 10.1007/s11590-015-0976-2
M3 - Article
AN - SCOPUS:84949679792
SN - 1862-4472
VL - 11
SP - 947
EP - 965
JO - Optimization Letters
JF - Optimization Letters
IS - 5
ER -