New hybrid algorithm based on nonmonotone spectral gradient and simultaneous perturbation - Inria - Institut national de recherche en sciences et technologies du numérique
Article Dans Une Revue International Journal of Mathematical Modelling and Numerical Optimisation Année : 2019

New hybrid algorithm based on nonmonotone spectral gradient and simultaneous perturbation

Résumé

In this paper, we introduce a new hybrid method called nonmonotone spectral gradient and simultaneous perturbation (NSGSP). It combines the advantages of nonmonotone spectral gradient (NSG), and simultaneous perturbation (SP) methods. The main idea of our approach is to use the simultaneous perturbation (SP) method in order to get a non expensive estimate of the gradient, and exploit the good properties of the nonmonotone spectral gradient (NSG) method in order to compute an efficient line search. Several numerical experiments are provided. The results indicate that the new method is effective and outperforms most of other popular methods.
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Dates et versions

hal-01944548 , version 1 (04-12-2018)

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Zineb Tabbakh, Rachid Ellaia, Abderrahmane Habbal. New hybrid algorithm based on nonmonotone spectral gradient and simultaneous perturbation. International Journal of Mathematical Modelling and Numerical Optimisation, 2019, 9 (1), pp.1-23. ⟨10.1504/IJMMNO.2019.096911⟩. ⟨hal-01944548⟩
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