Adaptive projected SOR algorithms for nonnegative quadratic programming
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arXiv
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| Format: | Preprint |
| Published: |
2021
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| _version_ | 1866909308089794560 |
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| author | Miyatake, Yuto Sogabe, Tomohiro |
| author_facet | Miyatake, Yuto Sogabe, Tomohiro |
| contents | The choice of relaxation parameter in the projected successive overrelaxation (PSOR) method for nonnegative quadratic programming problems is problem-dependent. We present novel adaptive PSOR algorithms that adaptively control the relaxation parameter using the Wolfe conditions. The method and its variants can be applied to various problems without requiring additional assumptions, barring the positive semidefiniteness concerning the matrix that defines the objective function, and the cost for updating the parameter is negligible in the whole iteration. Numerical experiments show that the proposed methods often perform comparably to (or sometimes superior to) the PSOR method with a nearly optimal relaxation parameter. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2112_05311 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Adaptive projected SOR algorithms for nonnegative quadratic programming Miyatake, Yuto Sogabe, Tomohiro Optimization and Control Numerical Analysis The choice of relaxation parameter in the projected successive overrelaxation (PSOR) method for nonnegative quadratic programming problems is problem-dependent. We present novel adaptive PSOR algorithms that adaptively control the relaxation parameter using the Wolfe conditions. The method and its variants can be applied to various problems without requiring additional assumptions, barring the positive semidefiniteness concerning the matrix that defines the objective function, and the cost for updating the parameter is negligible in the whole iteration. Numerical experiments show that the proposed methods often perform comparably to (or sometimes superior to) the PSOR method with a nearly optimal relaxation parameter. |
| title | Adaptive projected SOR algorithms for nonnegative quadratic programming |
| topic | Optimization and Control Numerical Analysis |
| url | https://arxiv.org/abs/2112.05311 |