Skip to article frontmatterSkip to article content
Site not loading correctly?

This may be due to an incorrect BASE_URL configuration. See the MyST Documentation for reference.

Motivation

The linear conjugate gradient method provides an iterative solution to the linear system Qx=pQx = p, or equivalently, a solution to the corresponding quadratic program

minimize⁡f0(x):=12x⊤Qx−p⊤xsubject to⁡x∈RnQ≻0\begin{array}{ll} \minimize& f_0(x):=\frac{1}{2} x^\top Q x - p^\top x\\ \st & x \in \mathbb{R}^n \end{array}\quad \quad Q \succ 0

Nonlinear conjugate gradient methods extend the ideas of linear conjugate gradient to non-quadratic objective functions f0f_0. Several variant exists, two popular ones being

The key principle is the following: replace the residual rkr_k (which is the gradient of quadratic f0f_0) by the evaluation of the gradient of the nonlinear objective f0f_0 at iteration x(k)x^{(k)}.

Fletcher-Reeves vs Polyak-Ribière algorithms

A few points to note:

The Polak-Ribière method amounts at replacing the way βk+1\beta_{k+1} is computed.

Often one replaces βk+1PR\beta_{k+1}^{PR} with the more robust βk+1+=max⁡(0,βk+1PR)\beta_{k+1}^{+} = \max(0, \beta_{k+1}^{\text{PR}}).

Numerical illustration

We consider the minimization problem of the Rosenbrock function in 2D.

minimize⁡(a−x1)2+b(x2−x12)2,a,b∈Rsubject to⁡x∈Rn\begin{array}{ll} \minimize &\quad (a-x_1)^2 + b(x_2-x_1^2)^2, \quad a, b \in \mathbb{R}\\ \st & \quad x \in \mathbb{R}^n \end{array}

which has a clear (global) optima at x⋆=[a,a]⊤x^\star = [a, a]^\top with optimal value p⋆=0p^\star = 0.

Source
<Figure size 1000x800 with 1 Axes>
<Figure size 1000x600 with 1 Axes>

Summary

References
  1. Nocedal, J., & Wright, S. J. (2006). Numerical optimization (Second Edition). Springer.