Accession Number:

ADA478260

Title:

A Line Search Multigrid Method for Large-Scale Convex Optimization

Descriptive Note:

Corporate Author:

COLUMBIA UNIV NEW YORK DEPT OF INDUSTRIAL ENGINEERING AND OPERATIONS RESEARCH

Personal Author(s):

Report Date:

2007-07-03

Pagination or Media Count:

30.0

Abstract:

We present a line search multigrid method based on Nashs MGOPT multilevel optimization approach for solving discretized versions of convex infinite dimensional optimization problems. Global convergence is proved under fairly minimal requirements on the minimization method used at all grid levels. In particular, our convergence proof does not require that these minimization, or so-called smoothing steps, which we interpret in the context of optimization, be taken at each grid level in contrast with multigrid algorithms for PDEs, which fail to converge without such steps. Preliminary numerical experiments show that our method is promising.

Subject Categories:

  • Numerical Mathematics
  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE