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A compact limited memory method for large scale unconstrained optimization

Authors
Journal
European Journal of Operational Research
0377-2217
Publisher
Elsevier
Publication Date
Volume
180
Issue
1
Identifiers
DOI: 10.1016/j.ejor.2006.02.045
Keywords
  • Large Scale Optimization
  • Nonlinear Programming
  • Limited Memory Quasi-Newton Method
  • Bfgs Update
  • Modified Quasi-Newton Equation

Abstract

Abstract A compact limited memory method for solving large scale unconstrained optimization problems is proposed. The compact representation of the quasi-Newton updating matrix is derived to the use in the form of limited memory update in which the vector y k is replaced by a modified vector y ˆ k so that more available information about the function can be employed to increase the accuracy of Hessian approximations. The global convergence of the proposed method is proved. Numerical tests on commonly used large scale test problems indicate that the proposed compact limited memory method is competitive and efficient.

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