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A generalized limited-memory BNS method based on the block BFGS update

Vlček, JanLukšan, Ladislav — 2017

Programs and Algorithms of Numerical Mathematics

A block version of the BFGS variable metric update formula is investigated. It satisfies the quasi-Newton conditions with all used difference vectors and gives the best improvement of convergence in some sense for quadratic objective functions, but it does not guarantee that the direction vectors are descent for general functions. To overcome this difficulty and utilize the advantageous properties of the block BFGS update, a block version of the limited-memory BNS method for large scale unconstrained...

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

Vlček, JanLukšan, Ladislav — 2013

Programs and Algorithms of Numerical Mathematics

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...

Application of the infinitely many times repeated BNS update and conjugate directions to limited-memory optimization methods

Vlček, JanLukšan, Ladislav — 2019

Programs and Algorithms of Numerical Mathematics

To improve the performance of the L-BFGS method for large scale unconstrained optimization, repeating of some BFGS updates was proposed e.g. in [1]. Since this can be time consuming, the extra updates need to be selected carefully. We show that groups of these updates can be repeated infinitely many times under some conditions, without a noticeable increase of the computational time; the limit update is a block BFGS update [17]. It can be obtained by solving of some Lyapunov matrix equation whose...

A hybrid method for nonlinear least squares that uses quasi-Newton updates applied to an approximation of the Jacobian matrix

Lukšan, LadislavVlček, Jan — 2019

Programs and Algorithms of Numerical Mathematics

In this contribution, we propose a new hybrid method for minimization of nonlinear least squares. This method is based on quasi-Newton updates, applied to an approximation A of the Jacobian matrix J , such that A T f = J T f . This property allows us to solve a linear least squares problem, minimizing A d + f instead of solving the normal equation A T A d + J T f = 0 , where d R n is the required direction vector. Computational experiments confirm the efficiency of the new method.

A modified limited-memory BNS method for unconstrained minimization derived from the conjugate directions idea

Vlček, JanLukšan, Ladislav — 2015

Programs and Algorithms of Numerical Mathematics

A modification of the limited-memory variable metric BNS method for large scale unconstrained optimization of the differentiable function f : N is considered, which consists in corrections (based on the idea of conjugate directions) of difference vectors for better satisfaction of the previous quasi-Newton conditions. In comparison with [11], more previous iterations can be utilized here. For quadratic objective functions, the improvement of convergence is the best one in some sense, all stored corrected...

Conjugate gradient algorithms for conic functions

Ladislav Lukšan — 1986

Aplikace matematiky

The paper contains a description and an analysis of two modifications of the conjugate gradient method for unconstrained minimization which find a minimum of the conic function after a finite number of steps. Moreover, further extension of the conjugate gradient method is given which is based on a more general class of the model functions.

Dual method for solving a special problem of quadratic programming as a subproblem at nonlinear minimax approximation

Ladislav Lukšan — 1986

Aplikace matematiky

The paper describes the dual method for solving a special problem of quadratic programming as a subproblem at nonlinear minimax approximation. Two cases are analyzed in detail, differring in linear dependence of gradients of the active functions. The complete algorithm of the dual method is presented and its finite step convergence is proved.

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