Some Numerical Experiments with Variable Storage Quasi-Newton Algorithms

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/3126 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/3126 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/3126 archive 351 disk0/00/00/30/85 2016-01-15 01:58:35 2021-08-27 17:13:10 2016-01-15 01:58:35 monograph show 3 Gilbert J.C. AL0691 Lemarechal C. AL0228 Some Numerical Experiments with Variable Storage Quasi-Newton Algorithms pub iis_met iis_mod prog_sds 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. 1988-08 published WP-88-121 WP-88-121 10 1903 2110 public working_paper IIASA, Laxenburg, Austria 36 FALSE info:eu-repo/semantics/book