An active set limited memory BFGS algorithm for large-scale bound constrained optimization

被引：11

作者：

Xiao, Yunhai ^{[1
,2
]}

Li, Dong-Hui ^{[2
]}

机构：

[1] Henan Univ, Sch Math & Informat Sci, Inst Appl Math, Kaifeng 475000, Peoples R China

[2] Hunan Univ, Coll Math & Econometr, Changsha 410082, Hunan, Peoples R China

来源：

MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 2008年 / 67卷 / 03期

基金：

美国国家科学基金会;

关键词：

bound constrained problem; limited memory BFGS method; global convergence;

D O I：

10.1007/s00186-007-0199-0

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

An active set limited memory BFGS algorithm for large-scale bound constrained optimization is proposed. The active sets are estimated by an identification technique. The search direction is determined by a lower dimensional system of linear equations in free subspace. The implementations of the method on CUTE test problems are described, which show the efficiency of the proposed algorithm.

引用

页码：443 / 454

页数：12

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