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A conjugate directions approach to improve the limited-memory BFGS method
- 1.0378976 - ÚI 2013 RIV US eng J - Journal Article
Vlček, Jan - Lukšan, Ladislav
A conjugate directions approach to improve the limited-memory BFGS method.
Applied Mathematics and Computation. Roč. 219, č. 3 (2012), s. 800-809. ISSN 0096-3003. E-ISSN 1873-5649
R&D Projects: GA ČR GA201/09/1957
Institutional research plan: CEZ:AV0Z10300504
Keywords : unconstrained minimization * variable metric methods * limited-memory methods * the BFGS update * conjugate directions * numerical results
Subject RIV: BA - General Mathematics
Impact factor: 1.349, year: 2012
Simple modifications of the limited-memory BFGS method (L-BFGS) for large scale unconstrained optimization are considered, which consist in corrections (derived from the idea of conjugate directions) of the used difference vectors, utilizing information from the preceding iteration. For quadratic objective functions, the improvement of convergence is the best one in some sense and all stored difference vectors are conjugate for unit stepsizes. Global convergence of the algorithm is established for convex sufficiently smooth functions. Numerical experiments indicate that the new method often improves the L-BFGS method significantly.
Permanent Link: http://hdl.handle.net/11104/0210274
Number of the records: 1