Some Numerical Experiments with Variable Storage Quasi-Newton Algorithms

Gilbert JC & Lemarechal C (1988). Some Numerical Experiments with Variable Storage Quasi-Newton Algorithms. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-88-121

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Abstract

This paper relates some numerical experiments with variable storage quasi-Newton methods for the optimization of large-scale models. The basic idea of the recommended algorithm is to start bfgs updates on a diagonal matrix, itself generated by an update formula and adjusted to Rayleigh's ellipsoid of the local Hessian of the objective function in the direction of the change in the gradient.

A variational derivation of some rank one and rank two updates in Hilbert spaces is also given.

Item Type: Monograph (IIASA Working Paper)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:58
Last Modified: 12 Aug 2016 04:46
URI: http://pure.iiasa.ac.at/3085

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