A LIMITED MEMORY ALGORITHM FOR BOUND CONSTRAINED OPTIMIZATION

被引：4217

作者：

BYRD, RH ^{[1
]}

LU, PH ^{[1
]}

NOCEDAL, J ^{[1
]}

ZHU, CY ^{[1
]}

机构：

[1] NORTHWESTERN UNIV,DEPT ELECT ENGN & COMP SCI,EVANSTON,IL 60208

来源：

SIAM JOURNAL ON SCIENTIFIC COMPUTING | 1995年 / 16卷 / 05期

关键词：

BOUND CONSTRAINED OPTIMIZATION; LIMITED MEMORY METHOD; NONLINEAR OPTIMIZATION; QUASI-NEWTON METHOD; LARGE-SCALE OPTIMIZATION;

D O I：

10.1137/0916069

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

An algorithm for solving large nonlinear optimization problems with simple bounds is described. It is based on the gradient projection method and uses a limited memory BFGS matrix to approximate the Hessian of the objective function. It is shown how to take advantage of the form of the limited memory approximation to implement the algorithm efficiently. The results of numerical tests on a set of large problems are reported.

引用

页码：1190 / 1208

页数：19

共 21 条

[1]

Aho A. V., 1974, DESIGN ANAL COMPUTER

[2]

AVERICK BM, 1991, ANLMCSTM157 MATH COM

[3] PROJECTED NEWTON METHODS FOR OPTIMIZATION PROBLEMS WITH SIMPLE CONSTRAINTS [J].

BERTSEKAS, DP .

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1982, 20 (02) :221-246

[4] REPRESENTATIONS OF QUASI-NEWTON MATRICES AND THEIR USE IN LIMITED MEMORY METHODS [J].

BYRD, RH ;

NOCEDAL, J ;

SCHNABEL, RB .

MATHEMATICAL PROGRAMMING, 1994, 63 (02) :129-156

[5]

CONN AR, 1988, MATH COMPUT, V50, P399, DOI 10.1090/S0025-5718-1988-0929544-3

[6] GLOBAL CONVERGENCE OF A CLASS OF TRUST REGION ALGORITHMS FOR OPTIMIZATION WITH SIMPLE BOUNDS [J].

CONN, AR ;

GOULD, NIM ;

TOINT, PL .

SIAM JOURNAL ON NUMERICAL ANALYSIS, 1988, 25 (02) :433-460

[7]

CONN AR, 1992, SPRINGER SER COMPUT, V17

[8]

CONN AR, 1993, COMMUNICATION

[9]

DENNIS JE, 1983, NUMERICAL METHODS UN

[10] SOME NUMERICAL EXPERIMENTS WITH VARIABLE-STORAGE QUASI-NEWTON ALGORITHMS [J].

GILBERT, JC ;

LEMARECHAL, C .

MATHEMATICAL PROGRAMMING, 1989, 45 (03) :407-435

← 1 2 3 →