Spectral gradient method for linearly constrained optimization

JOSÉ MARIO MARTÍNEZ; ELVIO A. PILOTTA; MARCOS RAYDÁN

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS

Springer

Lugar: New York; Año: 2005 vol. 125 p. 629 - 651

0022-3239

Linearly constrained optimization problems with simple bounds are considered in the present work. First, a preconditioned spectral gradient method is defined for the case in which no simple bounds are present. This algorithm can be viewed as a quasi-Newton method in which the approximate Hessians satisfy a weak secant equation. The spectral choice of steplength is embedded into the Hessian approximation and the whole process is combined with a nonmonotone line search strategy. The simple bounds are then taken into account by placing them in an exponential penalty term that modifies the objective function. The exponential penalty scheme defines the outer iterations of the process. Each outer iteration involves the application of the previously defined preconditioned spectral gradient method for linear equality constrained problems. Therefore, an equality constrained convex quadratic programming problem needs to be solved at every inner iteration. The associated extended KKT matrix remains constant unless the process is reinitiated. In ordinary inner iterations, only the right-hand side of the KKT system changes. Therefore, suitable sparse factorization techniques can be applied and exploited effectively. Encouraging numerical experiments are presented.