Original title: Modifications of the limited-memory BFGS method based on the idea of conjugate directions
Authors: Vlček, Jan ; Lukšan, Ladislav
Document type: Papers
Conference/Event: Programy a algoritmy numerické matematiky /16./, Dolní Maxov (CZ), 2012-06-03 / 2012-06-08
Year: 2013
Language: eng
Abstract: Simple modifications of the limited-memory BFGS method (L-BFGS) for large scale unconstrained optimization are considered, which consist in corrections of the used difference vectors (derived from the idea of conjugate directions), 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. The algorithm is globally convergent for convex sufficiently smooth functions. Numerical experiments indicate that the new method often improves the L-BFGS method significantly.
Keywords: conjugate directions; large scale optimization; limited memory; numerical solution; variable metric methods
Host item entry: Programs and Algorithms of Numerical Matematics 16, ISBN 978-80-85823-62-2

Institution: Institute of Computer Science AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://users.math.cas.cz/~panm/Panm16/proceedings_final/209_vlcek.pdf
Original record: http://hdl.handle.net/11104/0219149

Permalink: http://www.nusl.cz/ntk/nusl-151634


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