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New stepsizes for the gradient method

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Abstract

Gradient methods are famous for their simplicity and low complexity, which attract more and more attention for large scale optimization problems. A good stepsize plays an important role to construct an efficient gradient method. This paper proposes a new framework to generate stepsizes for gradient methods applied to convex quadratic function minimization problems. By adopting different criterions, we propose four new gradient methods. For 2-dimensional unconstrained problems with convex quadratic objective functions, we prove that the new methods either terminate in finite iterations or converge R-superlinearly; for n-dimensional problems, we prove that all the new methods converge R-linearly. Numerical experiments show that the new methods enjoy lower complexity and outperform the existing gradient methods.

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Notes

  1. For example, in this test problem, the per iteration computational cost of \({\text {ABB}}_{\min }\) is \(n^2+3n+\frac{5}{2}\), while that of Alg. 3 is \(\frac{1}{5}n^2+\frac{2}{5}n+\frac{3}{10}\).

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Acknowledgements

The authors would like to thank Prof. Ya-xiang Yuan from Chinese Academy of Sciences, the editor and the two anonymous reviewers for their valuable suggestions and comments.

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Author notes

  1. Jin-Peng Liu

    Present address: Department of Mathematics, University of Maryland, College Park, MD, 20742, USA

Authors and Affiliations

  1. School of Science, Beijing University of Posts and Telecommunications, Beijing, 100876, China

    Cong Sun

  2. School of Mathematics and Systems Science, Beihang University, Beijing, China

    Jin-Peng Liu

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  1. Cong Sun
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Correspondence to Cong Sun.

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This work is partially supported by NSFC Grants 11771056, 91630202 and 11871115, and the Young Elite Scientists Sponsorship Program by CAST 2017QNRC001.

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Sun, C., Liu, JP. New stepsizes for the gradient method. Optim Lett 14, 1943–1955 (2020). https://doi.org/10.1007/s11590-019-01512-y

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