Limited-memory BFGS systems with diagonal updates (Q417600)
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scientific article; zbMATH DE number 6034534
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limited-memory BFGS systems with diagonal updates |
scientific article; zbMATH DE number 6034534 |
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Limited-memory BFGS systems with diagonal updates (English)
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14 May 2012
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quasi-Newton methods
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limited-memory methods
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inverses
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Sherman-Morrison-Woodbury
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diagonal updates
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large-scale optimization
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trust-region methods
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doubly-augmented Lagrangian method
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numerical experiments
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Broyden-Fletcher-Goldfarb-Shanno (BFGS)
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The authors develop a recursion formula for solving systems of the following form: \((B+\sigma I)x= y\), where \(B\) is a limited-memory Broyden-Fletcher-Goldforb-Shanno (BFGS) quasi-Newton matrix and \(\sigma\) is a positive constant.NEWLINENEWLINE These types of systems arise in large-scale optimization such as trust-region methods as well as doubly-augmented Lagrangian method. Numerical experiments are given.
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