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Recursive form of general limited memory variable metric methods
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SYSNO ASEP 0381993 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Recursive form of general limited memory variable metric methods Author(s) Lukšan, Ladislav (UIVT-O) SAI, RID
Vlček, Jan (UIVT-O) SAI, RID, ORCIDSource Title Kybernetika. - : Ústav teorie informace a automatizace AV ČR, v. v. i. - ISSN 0023-5954
Roč. 49, č. 2 (2013), s. 224-235Number of pages 12 Language eng - English Country CZ - Czech Republic Keywords unconstrained optimization ; large scale optimization ; limited memory methods ; variable metric updates ; recursive matrix formulation ; algorithms Subject RIV BA - General Mathematics Institutional support UIVT-O - RVO:67985807 UT WOS 000329259300003 EID SCOPUS 84877247344 Annotation In this report we propose a new recursive matrix formulation of limited memory variable metric methods. This approach can be used for an arbitrary update from the Broyden class (and some other updates) and also for the approximation of both the Hessian matrix and its inverse. The new recursive formulation requires approximately 4 m n multiplications and additions per iteration, so it is comparable with other efficient limited memory variable metric methods. Numerical experiments concerning Algorithm 1, proposed in this report, confirm its practical efficiency. Workplace Institute of Computer Science Contact Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Year of Publishing 2014
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