Some numerical experiments with variable-storage quasi-Newton algorithms

Some numerical experiments with variable-storage quasi-Newton algorithms

0.00 Avg rating0 Votes
Article ID: iaor19911703
Country: Netherlands
Volume: 45
Issue: 3
Start Page Number: 407
End Page Number: 435
Publication Date: Dec 1989
Journal: Mathematical Programming
Authors: ,
Abstract:

This paper describes some numerical experiments with variable-storage quasi-Newton methods for the optimization of some large-scale models (coming from fluid mechanics and molecular biology). In addition to assessing these kinds of methods in real-life situations, the authors compare an algorithm of A. Buckley with a proposal by J. Nocedal. The latter seems generally superior, provided that careful attention is given to some nontrivial implementation aspects, whcih concern the general question of properly initiatlizing a quasi-Newton matrix. In this context, the authors find it appropriate to use a diagonal matrix, generated by an update of the identity matrix, so as to fit the Rayleigh ellipsoid of the local Hessian in the direction of the change in the gradient. Also, a variational derivation of some rank one and rank two updates in Hilbert spaces is given.

Reviews

Required fields are marked *. Your email address will not be published.