Perturbed steepest-descent technique in multiextremal problems |
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Authors: | S K Zavriev |
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Institution: | (1) Faculty of Computational Mathematics and Cybernetics, Moscow State University, Moscow, Russia |
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Abstract: | The steepest-descent technique dealing with the perturbed values of the objective function and its gradients and with nonexact line searches is considered. Attention is given to the case where the perturbations do not decrease on the algorithm trajectories; the aim is to investigate how perturbations at every iteration of the algorithm perturb its original attractor set.Based on the Liapunov direct method for attraction analysis of discrete-time processes, a sharp estimation of the attractor set generated by a perturbed steepest-descent technique with respect to the perturbation magnitudes is obtained. Some global optimization properties of finite-difference analogues of the gradient method are discovered. These properties are not inherent in methods which use exact gradients.The author is grateful to the referees for many useful suggestions. |
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Keywords: | Gradient methods Liapunov direct methods global optimization stability under perturbations |
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