A Numerical Study of the Limited Memory BFGS Method and the Truncated-Newton Method for Large Scale Optimization
نویسندگان
چکیده
منابع مشابه
On the limited memory BFGS method for large scale optimization
We study the numerical performance of a limited memory quasi Newton method for large scale optimization which we call the L BFGS method We compare its performance with that of the method developed by Buckley and LeNir which combines cyles of BFGS steps and conjugate direction steps Our numerical tests indicate that the L BFGS method is faster than the method of Buckley and LeNir and is better a...
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The standard formulations of the Kalman filter (KF) and extended Kalman filter (EKF) require the storage and multiplication of matrices of size n × n, where n is the size of the state space, and the inversion of matrices of size m × m, where m is the size of the observation space. Thus when both m and n are large, implementation issues arise. In this paper, we advocate the use of the limited me...
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This paper is aimed to extend a certain damped technique, suitable for the Broyden–Fletcher–Goldfarb–Shanno (BFGS) method, to the limited memory BFGS method in the case of the large-scale unconstrained optimization. It is shown that the proposed technique maintains the global convergence property on uniformly convex functions for the limited memory BFGS method. Some numerical results are descri...
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We study the numerical performance of a limited memory quasi-Newton method for large scale optimization, which we call the L-BFGS method. We compare its performance with that of the method developed by Buckley and LeNir (1985), which combines cyles of BFGS steps and conjugate direction steps. Our numerical tests indicate that the L-BFGS method is faster than the method of Buckley and LeNir, and...
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The application of quasi-Newton methods is widespread in numerical optimization. Independently of the application, the techniques used to update the BFGS matrices seem to play an important role in the performance of the overall method. In this paper we address precisely this issue. We compare two implementations of the limited memory BFGS method for large-scale unconstrained problems. They diie...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 1991
ISSN: 1052-6234,1095-7189
DOI: 10.1137/0801023