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Algorithm 1030: SC-...
Algorithm 1030: SC-SR1: MATLAB Software for Limited-memory SR1 Trust-region Methods
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- Brust, Johannes (författare)
- Argonne Natl Lab, CA USA; Univ Calif San Diego, CA 92093 USA
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- Burdakov, Oleg (författare)
- Linköpings universitet,Tillämpad matematik,Tekniska fakulteten
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- Erway, Jennifer (författare)
- Wake Forest Univ, NC 27109 USA
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- Marcia, Roummel (författare)
- Univ Calif, CA 95343 USA
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(creator_code:org_t)
- 2022-12-19
- 2022
- Engelska.
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Ingår i: ACM Transactions on Mathematical Software. - : ASSOC COMPUTING MACHINERY. - 0098-3500 .- 1557-7295. ; 48:4
- Relaterad länk:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- We present a MATLAB implementation of the symmetric rank-one (SC-SR1) method that solves trust-region subproblems when a limited-memory symmetric rank-one (L-SR1) matrix is used in place of the true Hessian matrix, which can be used for large-scale optimization. The method takes advantage of two shape-changing norms [Burdakov et al. 2017; Burdakov and Yuan 2002] to decompose the trust-region subproblem into two separate problems. Using one of the proposed norms, the resulting subproblems have closed-form solutions. Meanwhile, using the other proposed norm, one of the resulting subproblems has a closed-form solutionwhile the other is easily solvable using techniques that exploit the structure of L-SR1 matrices. Numerical results suggest that the SC-SR1 method is able to solve trust-region subproblems to high accuracy even in the so-called "hard case." When integrated into a trust-region algorithm, extensive numerical experiments suggest that the proposed algorithms perform well, when compared with widely used solvers, such as truncated conjugate-gradients.
Ämnesord
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
Nyckelord
- Large-scale unconstrained optimization; trust-region methods; limited-memory quasi-Newton methods; symmetric rank-one update; shape-changing norm
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