Article ID: | iaor20032483 |
Country: | Netherlands |
Volume: | 117 |
Issue: | 1 |
Start Page Number: | 51 |
End Page Number: | 70 |
Publication Date: | Nov 2002 |
Journal: | Annals of Operations Research |
Authors: | Martnez Jos Mario, Burdakov Oleg P., Pilotta Elvio A. |
Keywords: | box constraints |
A new algorithm for solving smooth large-scale minimization problems with bound constraints is introduced. The way of dealing with active constraints is similar to the one used in some recently introduced quadratic solvers. A limited-memory multipoint symmetric secant method for approximating the Hessian is presented. Positive-definiteness of the Hessian approximation is not enforced. A combination of trust-region and conjugate-gradient approaches is used to explore a useful negative curvature information. Global convergence is proved for a general model algorithm. Results of numerical experiments are presented.