A limited-memory multipoint symmetric secant method for bound constrained optimization

A limited-memory multipoint symmetric secant method for bound constrained optimization

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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: , ,
Keywords: box constraints
Abstract:

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.

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