On the limited memory BFGS 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...
متن کاملLarge-scale Kalman Filtering Using the Limited Memory Bfgs Method
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...
متن کاملDamped Techniques for the Limited Memory BFGS Method for Large-Scale Optimization
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...
متن کاملON THE LIMITED MEMORY BFGS METHOD FORLARGE SCALE OPTIMIZATIONbyDong
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...
متن کاملCriterion for the Limited Memory BFGS Algorithm for Large Scale Nonlinear Optimization
This paper studies recent modi cations of the limited memory BFGS (L-BFGS) method for solving large scale unconstrained optimization problems. Each modi cation technique attempts to improve the quality of the L-BFGS Hessian by employing (extra) updates in certain sense. Because at some iterations these updates might be redundant or worsen the quality of this Hessian, this paper proposes an upda...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Programming
سال: 1989
ISSN: 0025-5610,1436-4646
DOI: 10.1007/bf01589116