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On the best choice of a damping sequence in iterative optimization methods.

Leonid N. Vaserstein — 1988

Publicacions Matemàtiques

Some iterative methods of mathematical programming use a damping sequence {α} such that 0 ≤ α ≤ 1 for all t, α → 0 as t → ∞, and Σ α = ∞. For example, α = 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 {α} depending only on time t is computed. The computation is used to find the best damping sequence.

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