SPGBox.jl

Spectral Projected Gradient Method for Box-Constrained Minimization
Author m3g
Popularity
1 Star
Updated Last
1 Year Ago
Started In
October 2020

SPGBox

Implements the Spectral Projected Gradient Method for minimization with box constraints.

Algorithm reference:

E. G. Birgin, J. M. Martínez and M. Raydan, "Nonmonotone spectral projected gradient methods on convex sets", SIAM Journal on Optimization 10, pp. 1196-1211, 2000. LINK

Documentation

The complete documentation can be found at: https://m3g.github.io/SPGBox/stable/

How to install

julia> using Pkg

julia> Pkg.add("SPGBox")

or, more concisely,

julia> ] add SPGBox

Quick usage example:

Define the function to compute the objective function and the gradient, for example with:

julia> func(x) = x[1]^2 + x[2]^2

julia> function grad!(x,g)
         g[1] = 2*x[1]
         g[2] = 2*x[2]
       end

And the objective function can be minimized with optional box bounds. Here, with a lower bound of 2 for the first variable:

julia> x = 2 .+ rand(2)

julia> spgbox!(x,func,grad!,l=[2.,-Inf])

 SPGBOX RESULT:

 Convergence achieved.

 Final objective function value = 4.0
 Best solution found = [ 2.0, 0.0]
 Projected gradient norm = 0.0

 Number of iterations = 2
 Number of function evaluations = 3