Extension of Modified Polak-Ribière-Polyak Conjugate Gradient Method to Linear Equality Constraints Minimization Problems

Abstract EN

Combining the Rosen gradient projection method with the two-term Polak-Ribière-Polyak (PRP) conjugate gradient method, we propose a two-term Polak-Ribière-Polyak (PRP) conjugate gradient projection method for solving linear equality constraints optimization problems.

The proposed method possesses some attractive properties: (1) search direction generated by the proposed method is a feasible descent direction; consequently the generated iterates are feasible points; (2) the sequences of function are decreasing.

Under some mild conditions, we show that it is globally convergent with Armijio-type line search.

Preliminary numerical results show that the proposed method is promising.