Nonlinear Functional Analysis and Applications

Kyungnam University, Department of Mathematics Eduaction (경남대학교 수학교육과)
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A NEW CLASS OF NONLINEAR CONJUGATE GRADIENT METHOD FOR UNCONSTRAINED OPTIMIZATION MODELS AND ITS APPLICATION IN PORTFOLIO SELECTION

  • Malik, Maulana (Faculty of Informatics and Computing, Universiti Sultan Zainal Abidin) ;
  • Sulaiman, Ibrahim Mohammed (School of Quantitative Sciences, College of Arts and Sciences, Universiti Utara Malaysia) ;
  • Mamat, Mustafa (Faculty of Informatics and Computing, Universiti Sultan Zainal Abidin) ;
  • Abas, Siti Sabariah (Faculty of Informatics and Computing, Universiti Sultan Zainal Abidin) ;
  • Sukono, Sukono (Department of Mathematics, Universitas Padjadjaran)
  • Received : 2021.03.23
  • Accepted : 2021.05.09
  • Published : 2021.12.15
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Abstract

In this paper, we propose a new conjugate gradient method for solving unconstrained optimization models. By using exact and strong Wolfe line searches, the proposed method possesses the sufficient descent condition and global convergence properties. Numerical results show that the proposed method is efficient at small, medium, and large dimensions for the given test functions. In addition, the proposed method was applied to solve practical application problems in portfolio selection.

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References

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