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
收藏
页码：443 / 454
页数：12
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