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

Abstract

Some iterative methods of mathematical programming use a damping sequence {αt} such that 0 _< αt < 1 for all t, at - 0 as t - ∞, and Σαt = ∞. For example, αt = 1l(t + 1) in Brown's method for solving matrix games. In this paper, for a model class of iterative methods, the convergente rate for any damping sequence {αt}depending only on time t is computed. This computation is used to find the best damping sequence