Preconditioned Spectral Gradient Method

@article{Luengo2002PreconditionedSG,
  title={Preconditioned Spectral Gradient Method},
  author={Francisco Luengo and Marcos Raydan and William Kile Glunt and Tom L. Hayden},
  journal={Numerical Algorithms},
  year={2002},
  volume={30},
  pages={241-258}
}
The spectral gradient method is a nonmonotone gradient method for large-scale unconstrained minimization. We strengthen the algorithm by modifications which globalize the method and present strategies to apply preconditioning techniques. The modified algorithm replaces a condition of uniform positive definitness of the preconditioning matrices, with mild conditions on the search directions. The result is a robust algorithm which is effective on very large problems. Encouraging numerical… CONTINUE READING
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