An Optimal Positive Definite Update for Sparse Hessian Matrices

DOI10.1137/0805010zbMath0824.65038OpenAlexW2012255426MaRDI QIDQ4764315

Roger Fletcher

Publication date: 13 November 1995

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0805010

zbMATH Keywords

numerical resultsBFGS methodsmooth unconstrained optimizationRosenbrock function\(LDL\) factorizationBFGS-formulaLancelot methodNocedal methodPR-cg methodquasi-Newton update algorithmsparse matrix updatetridiagonal Hessians

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Large-scale problems in mathematical programming (90C06) Nonlinear programming (90C30)

Related Items (19)

Using the KKT matrix in an augmented Lagrangian SQP method for sparse constrained optimization ⋮ Logarithmic barriers for sparse matrix cones ⋮ Truncated partitioning group correction algorithms for large-scale sparse unconstrained optimi\-zation ⋮ Partitioning group correction Cholesky techniques for large scale sparse unconstrained optimization ⋮ Global convergence of Schubert's method for solving sparse nonlinear equations ⋮ Optimization techniques for tree-structured nonlinear problems ⋮ Sparse quasi-Newton updates with positive definite matrix completion ⋮ A Bregman extension of quasi-Newton updates. II: Analysis of robustness properties ⋮ A partitioned PSB method for partially separable unconstrained optimization problems ⋮ A Structured Quasi-Newton Algorithm for Optimizing with Incomplete Hessian Information ⋮ Analysis of sparse quasi-Newton updates with positive definite matrix completion ⋮ Diagonal bundle method for nonsmooth sparse optimization ⋮ Partitioned quasi-Newton methods for sparse nonlinear equations ⋮ A Bregman extension of quasi-Newton updates I: an information geometrical framework ⋮ Low‐complexity minimization algorithms ⋮ The substitution secant/finite difference method for large scale sparse unconstrained optimization ⋮ Approximating sparse Hessian matrices using large-scale linear least squares ⋮ Object Library of Algorithms for Dynamic Optimization Problems: Benchmarking SQP and Nonlinear Interior Point Methods ⋮ Variable metric methods for unconstrained optimization and nonlinear least squares

Uses Software

• Unnamed Item
• L-BFGS
• ve08

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