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Modified subspace limited memory BFGS algorithm for large-scale bound constrained optimization

โœ Scribed by Yunhai Xiao; Hongchuan Zhang

Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
516 KB
Volume
222
Category
Article
ISSN
0377-0427

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โœฆ Synopsis

In this paper, a subspace limited memory BFGS algorithm for solving large-scale bound constrained optimization problems is developed. It is modifications of the subspace limited memory quasi-Newton method proposed by Ni and Yuan [Q. Ni, Y.X. Yuan, A subspace limited memory quasi-Newton algorithm for large-scale nonlinear bound constrained optimization, Math. Comput. 66 (1997Comput. 66 ( ) 1509Comput. 66 ( -1520]. An important property of our proposed method is that more limited memory BFGS update is used. Under appropriate conditions, the global convergence of the method is established. The implementations of the method on CUTE test problems are presented, which indicate the modifications are beneficial to the performance of the algorithm.

๐Ÿ“œ SIMILAR VOLUMES

A limited memory BFGS-type method for la
A limited memory BFGS-type method for large-scale unconstrained optimization
โœ Yunhai Xiao; Zengxin Wei; Zhiguo Wang ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 408 KB

In this paper, a new numerical method for solving large-scale unconstrained optimization problems is presented. It is derived from a modified BFGS-type update formula by Wei, Li, and Qi. It is observed that the update formula can be extended to the framework of limited memory scheme with hardly more