Recursive form of general limited memory variable metric methods
Result description
In this report we propose a new recursive matrix formulation of limited memory variable metric methods. This approach can be used for an arbitrary update from the Broyden class (and some other updates) and also for the approximation of both the Hessian matrix and its inverse. The new recursive formulation requires approximately 4 m n multiplications and additions per iteration, so it is comparable with other efficient limited memory variable metric methods. Numerical experiments concerning Algorithm 1,proposed in this report, confirm its practical efficiency.
Keywords
unconstrained optimizationlarge scale optimizationlimited memory methodsvariable metric updatesrecursive matrix formulationalgorithms
The result's identifiers
Result code in IS VaVaI
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Recursive form of general limited memory variable metric methods
Original language description
In this report we propose a new recursive matrix formulation of limited memory variable metric methods. This approach can be used for an arbitrary update from the Broyden class (and some other updates) and also for the approximation of both the Hessian matrix and its inverse. The new recursive formulation requires approximately 4 m n multiplications and additions per iteration, so it is comparable with other efficient limited memory variable metric methods. Numerical experiments concerning Algorithm 1,proposed in this report, confirm its practical efficiency.
Czech name
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Czech description
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Classification
Type
Jx - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Kybernetika
ISSN
0023-5954
e-ISSN
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Volume of the periodical
49
Issue of the periodical within the volume
2
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
12
Pages from-to
224-235
UT code for WoS article
000329259300003
EID of the result in the Scopus database
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Basic information
Result type
Jx - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP
BA - General mathematics
Year of implementation
2013