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Title: Modifications of the limited-memory BFGS method based on the idea of conjugate directions (English)
Author: Vlček, Jan
Author: Lukšan, Ladislav
Language: English
Journal: Programs and Algorithms of Numerical Mathematics
Volume: Proceedings of Seminar. Dolní Maxov, June 3-8, 2012
Issue: 2012
Pages: 209-214
Category: math
Summary: 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 information from 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 sufficiently smooth functions. Numerical experiments indicate that the new method often improves the L-BFGS method significantly. (English)
Keyword: limited-memory BFGS method
Keyword: unconstrained optimization
Keyword: quadratic objective function
Keyword: convergence
Keyword: performance
MSC: 65K05
MSC: 65Y20
MSC: 90C30
MSC: 90C53
Date available: 2015-07-08T06:46:24Z
Last updated: 2015-07-08
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