A limited memory algorithm for bound constrained optimization
An algorithm for solving large nonlinear optimization problems with simple bounds is described. It is based on the gradient projection method and uses a limited memory BFGS matrix to approximate the Hessian of the objective function. It is shown how to take advantage of the form of the limited memor...
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| Veröffentlicht in: | SIAM journal on scientific computing 1995-09, Vol.16 (5), p.1190-1208 |
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| container_title | SIAM journal on scientific computing |
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| creator | BYRD, R. H PEIHUANG LU NOCEDAL, J CIYOU ZHU |
| description | An algorithm for solving large nonlinear optimization problems with simple bounds is described. It is based on the gradient projection method and uses a limited memory BFGS matrix to approximate the Hessian of the objective function. It is shown how to take advantage of the form of the limited memory approximation to implement the algorithm efficiently. The results of numerical tests on a set of large problems are reported. |
| doi_str_mv | 10.1137/0916069 |
| format | Article |
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H</au><au>PEIHUANG LU</au><au>NOCEDAL, J</au><au>CIYOU ZHU</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>A limited memory algorithm for bound constrained optimization</atitle><jtitle>SIAM journal on scientific computing</jtitle><date>1995-09-01</date><risdate>1995</risdate><volume>16</volume><issue>5</issue><spage>1190</spage><epage>1208</epage><pages>1190-1208</pages><issn>1064-8275</issn><eissn>1095-7197</eissn><coden>SJOCE3</coden><abstract>An algorithm for solving large nonlinear optimization problems with simple bounds is described. It is based on the gradient projection method and uses a limited memory BFGS matrix to approximate the Hessian of the objective function. It is shown how to take advantage of the form of the limited memory approximation to implement the algorithm efficiently. 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| ispartof | SIAM journal on scientific computing, 1995-09, Vol.16 (5), p.1190-1208 |
| issn | 1064-8275 1095-7197 |
| language | eng |
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| source | SIAM Journals Online |
| subjects | Algorithms Applied sciences Approximation Calculus of variations and optimal control Computer science Exact sciences and technology Grants Mathematical analysis Mathematics Operational research and scientific management Operational research. Management science Optimization Optimization. Search problems Sciences and techniques of general use |
| title | A limited memory algorithm for bound constrained optimization |
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