Continuous second order minimization method with variable metric projection operator
Zhurnal Srednevolzhskogo Matematicheskogo Obshchestva
The paper examines a new continuous projection second order method of minimization of continuously Frechet differentiable convex functions on the convex closed simple set in separable, normed Hilbert space with variable metric. This method accelerates common continuous projection minimization method by means of quasi-Newton matrices. In the method, apart from variable metric operator, vector of search direction for motion to minimum, constructed in auxiliary extrapolated point, is used. By
... t, is used. By other word, complex continuous extragradient variable metric method is investigated. Short review of allied methods is presented and their connections with given method are indicated. Also some auxiliary inequalities are presented which are used for theoretical reasoning of the method. With their help, under given supplemental conditions, including requirements on operator of metric and on method parameters, convergence of the method for convex smooth functions is proved. Under conditions completely identical to those in convergence theorem, without additional requirements to the function, estimates of the method's convergence rate are obtained for convex smooth functions. It is pointed out, that one must execute computational implementation of the method by means of numerical methods for ODEs solution and by taking into account the conditions of proved theorems.