Algorithm 813: SPG - Software for convex-constrained optimization
Fortran 77 software implementing the SPG method is introduced. SPG is a nonmonotone projected gradient algorithm for solving large-scale convex-constrained optimization problems. It combines the classical projected gradient method with the spectral gradient choice of steplength and a nonmonotone line-search strategy. The user provides objective function and gradient values, and projections onto the feasible set. Some recent numerical tests are reported on very large location problems, indicating that SPG is substantially more efficient than existing general-purpose software on problems for which projections can be computed efficiently.
algorithms projected gradients bound constrained problems large-scale problems nonmonotone line search spectral gradient method