TNPACK - A TRUNCATED NEWTON MINIMIZATION PACKAGE FOR LARGE-SCALE PROBLEMS .1. ALGORITHM AND USAGE

被引:82
作者
SCHLICK, T
FOGELSON, A
机构
[1] NYU,DEPT CHEM,NEW YORK,NY 10012
[2] UNIV UTAH,DEPT MATH,SALT LAKE CITY,UT 84112
来源
ACM TRANSACTIONS ON MATHEMATICAL SOFTWARE | 1992年 / 18卷 / 01期
关键词
NONLINEAR OPTIMIZATION; PRECONDITIONED CONJUGATE GRADIENT; SPARSE MATRICES; TRUNCATED NEWTON METHODS;
D O I
10.1145/128745.150973
中图分类号
TP31 [计算机软件];
学科分类号
081202 ; 0835 ;
摘要
We present a FORTRAN package of subprograms for minimizing multivariate functions without constraints by a truncated Newton algorithm. The algorithm is especially suited for problems involving a large number of variables. Truncated Newton methods allow approximate, rather than exact, solutions to the Newton equations. Truncation is accomplished in the present version by using the preconditioned Conjugate Gradient algorithm (PCG) to solve approximately the Newton equations. The preconditioner M is factored in PCG using a sparse modified Cholesky factorization based on the Yale Sparse Matrix Package. In this paper we briefly describe the method and provide details for program usage.
引用
收藏
页码:46 / 70
页数:25
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