Modifications of the limited-memory BFGS method based on the idea of conjugate directions

Result code in IS VaVaI

RIV/67985807:_____/13:00390286 - isvavai.cz

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Modifications of the limited-memory BFGS method based on the idea of conjugate directions

Original language description

Simple modifications of the limited-memory BFGS method (L-BFGS) for large scale unconstrained optimization are considered, which consist in corrections of the used difference vectors (derived from the idea of conjugate directions), utilizing informationfrom the preceding iteration. For quadratic objective functions, the improvement of convergence is the best one in some sense and all stored difference vectors are conjugate for unit stepsizes. The algorithm is globally convergent for convex sufficientlysmooth functions. Numerical experiments indicate that the new method often improves the L-BFGS method significantly.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

BA - General mathematics

OECD FORD branch

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Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2013

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Programs and Algorithms of Numerical Matematics 16

ISBN

978-80-85823-62-2

ISSN

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e-ISSN

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Number of pages

6

Pages from-to

209-214

Publisher name

Institute of Mathematics, Academy of Sciences of the Czech Republic

Place of publication

Prague

Event location

Dolní Maxov

Event date

Jun 3, 2012

Type of event by nationality

CST - Celostátní akce

UT code for WoS article

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