A dense initialization for limited-memory quasi-Newton methods

DOI10.1007/s10589-019-00112-xzbMath1427.90292arXiv1710.02396OpenAlexW2963636221MaRDI QIDQ2322555

Johannes J. Brust, Oleg P. Burdakov, Jennifer B. Erway, Roummel F. Marcia

Publication date: 4 September 2019

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.02396

zbMATH Keywords

trust-region methodslimited-memory quasi-Newton methodslarge-scale nonlinear optimizationquasi-Newton matricesshape-changing norm

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Numerical mathematical programming methods (65K05) Large-scale problems in mathematical programming (90C06) Nonconvex programming, global optimization (90C26) Numerical optimization and variational techniques (65K10) Methods of quasi-Newton type (90C53) Iterative numerical methods for linear systems (65F10)

Related Items

On the effect of nonlinearity and Jacobian initialization on the convergence of the generalized Broyden quasi‐Newton method, A new multipoint symmetric secant method with a dense initial matrix, Large-scale quasi-Newton trust-region methods with low-dimensional linear equality constraints, Compact representations of structured BFGS matrices, Large-Scale Optimization with Linear Equality Constraints Using Reduced Compact Representation

Uses Software

• L-BFGS-B
• L-BFGS
• CUTEr
• SifDec
• LBFGS-B

Cites Work

• Unnamed Item
• On solving large-scale limited-memory quasi-Newton equations
• Representations of quasi-Newton matrices and their use in limited memory methods
• On efficiently combining limited-memory and trust-region techniques
• On Efficiently Computing the Eigenvalues of Limited-Memory Quasi-Newton Matrices
• Matrix conditioning and nonlinear optimization
• Algorithm 778: L-BFGS-B
• Numerical Optimization
• Compact representation of the full Broyden class of quasi‐Newton updates
• CUTEr and SifDec
• Benchmarking optimization software with performance profiles.