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Shape-Changing L-SR...
Shape-Changing L-SR1 Trust-Region Methods
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- Brust, Johannes (författare)
- Applied Mathematics, University of California, Merced, USA
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- Burdakov, Oleg, 1953- (författare)
- Linköpings universitet,Optimeringslära,Tekniska fakulteten
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- Erway, Jennifer B. (författare)
- Department of Mathematics, Wake Forest University, USA
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- Marcia, Roummel F. (författare)
- Applied Mathematics, University of California, Merced, USA
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- Yuan, Ya-xiang (författare)
- State Key Laboratory of Scientific and Engineering Computing, Institute of Computational Mathematics and Scientific/Engineering Computing, AMSS, CAS, Beijing, China
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(creator_code:org_t)
- Cornell University : arXiv.org, 2016
- Engelska 14 s.
- Relaterad länk:
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https://arxiv.org/ab...
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https://liu.diva-por... (primary) (Raw object)
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https://urn.kb.se/re...
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Abstract
Ämnesord
Stäng
- In this article, we propose a method for solving the trust-region subproblem when a limited-memory symmetric rank-one matrix is used in place of the true Hessian matrix. The method takes advantage of two shape-changing norms to decompose the trust-region subproblem into two separate problems, one of which has a closed-form solution and the other one is easy to solve. Sufficient conditions for global solutions to both subproblems are given. The proposed solver makes use of the structure of limited-memory symmetric rank-one matrices to find solutions that satisfy these optimality conditions. Solutions to the trust-region subproblem are computed to high-accuracy even in the so-called "hard case".
Ämnesord
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
Nyckelord
- large-scale optimization
- limited-memory algorithms
- trust-region algorithms
- symmetric rank-one updates
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