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On diagonally-preconditioning the 2-steps BFGS method with accumulated steps for supra-scale linearly constrained nonlinear programming
dc.contributor.author | Escudero, L. F. |
dc.date.accessioned | 2008-02-28T19:18:16Z |
dc.date.available | 2008-02-28T19:18:16Z |
dc.date.issued | 1982-12 |
dc.identifier.issn | 0210-8054 (versió paper) |
dc.identifier.uri | http://hdl.handle.net/2099/4394 |
dc.description.abstract | We present an algorithm for supra-scale linearly constrained nonlinear programming (LNCP) based on the Limited-Storage Quasi-Newton's method. In large-scale programming solving the reduced Newton equation at each iteration can be expensive and may not be justified when far from a local solution; besides, the amount of storage required by the reduced Hessian matrix, and even the computing time for its Quasi-Newton approximation, may be prohibitive. An alternative based on the reduced Truncated-Newton methodology, that has been proved to be satisfactory for super-scale problems, is not recommended for supra-scale problems since it requires an additional gradient evaluation and the solving of two systems of linear equations per each minor iteration. It is recommended a 2-steps BFGS approximation of the inverse of the reduced Hessian matrix such that it does not require to store any matrix since the product matrix-vector is the vector to be approximated; it uses the reduced gradient and solution related to the two previous iterations and the so-termed restart iteration. A diagonal direct BFGS preconditioning is used. |
dc.format.extent | p. 333-349 |
dc.language.iso | eng |
dc.publisher | Universitat Politècnica de Barcelona. Centre de Càlcul |
dc.relation.ispartof | Qüestiió. 1982, vol.6, núm.4 |
dc.rights | Attribution-NonCommercial-NoDerivs 2.5 Spain |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/2.5/es/ |
dc.subject.other | Operations research |
dc.subject.other | Mathematical programming |
dc.title | On diagonally-preconditioning the 2-steps BFGS method with accumulated steps for supra-scale linearly constrained nonlinear programming |
dc.type | Article |
dc.subject.lemac | Investigació operativa |
dc.subject.lemac | Programació (Matemàtica) |
dc.subject.ams | Classificació AMS::90 Operations research, mathematical programming::90C Mathematical programming |
dc.rights.access | Open Access |
local.ordre | 6 |