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ON THE BEST CHOICE OF A DAMPING SEQUENCE IN ITERATIVE OPTIMIZATION METHODS

L.N. Vaserstein
Publicacions Matemàtiques
Vol. 32, No. 2 (1988), pp. 275-287
Stable URL: http://www.jstor.org/stable/43736166
Page Count: 13
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
ON THE BEST CHOICE OF A DAMPING SEQUENCE IN ITERATIVE OPTIMIZATION METHODS
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Abstract

Some iterative methods of mathematical programming use a damping sequence {αt} such that 0 ≤ αt ≤ 1 for all t, αt → 0 as t → ∞, and Σαt = ∞. For example, αt = 1/(t + 1) in Brown's method for solving matrix games. In this paper, for a model class of iterative methods, the convergence rate for any damping sequence {αt} depending only on time t is computed. This computation is used to find the best damping sequence.

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