BFGS with Update Skipping and Varying Memory
نویسندگان
چکیده
منابع مشابه
BFGS with Update Skipping and Varying Memory
We give conditions under which limited-memory quasi-Newton methods with exact line searches will terminate in n steps when minimizing n-dimensional quadratic functions. We show that although all Broyden family methods terminate in n steps in their full-memory versions, only BFGS does so with limited-memory. Additionally, we show that full-memory Broyden family methods with exact line searches t...
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Two families of limited-memory variable metric or quasi-Newton methods for unconstrained minimization based on quasi-product form of update are derived. As for the first family, four variants how to utilize the Strang recurrences for the Broyden class of variable metric updates are investigated; three of them use the same number of stored vectors as the limitedmemory BFGS method. Moreover, one ...
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In this paper, we investigate a formula to solve systems of the form (Bk + D)x = y, where Bk comes from a limited-memory BFGS quasi-Newton method and D is a diagonal matrix with diagonal entries di,i ≥ σ for some σ > 0. These types of systems arise naturally in large-scale optimization. We show that provided a simple condition holds on B0 and σ, the system (Bk + D)x = y can be solved via a recu...
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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: 1998
ISSN: 1052-6234,1095-7189
DOI: 10.1137/s1052623496306450