Projection method for unconstrained optimization |
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| Authors: | G P McCormick K Ritter |
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| Institution: | (1) Research Analysis Corporation, McLean, Virginia;(2) Present address: Department of Operations Research, The George Washington University, Washington, D.C.;(3) Rutgers University, New Brunswick, New Jersey |
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| Abstract: | A method of conjugate directions, the projection method, for solving unconstrained minimization problems is presented. Under the assumption of uniform strict convexity, the method is shown to converge to the global minimizer of the unconstrained problem and to have an (n – 1)-step superlinear rate of convergence. With a Lipschitz condition on the second derivatives, the rate of convergence is shown to be a modifiedn-step quadratic one.This research was supported in part by the Army Research Office, Contract No. DAHC 19-69-C-0017, and the Office of Naval Research, Contract No. N00014-71-C-0116(NR-047-099). |
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