A quasi-Newton based pattern search algorithm for unconstrained optimization

DOI10.1016/J.AMC.2006.05.107MaRDI QIDQ864827zbMATH OpenOpenAlexFDO

Authors Ting Wu, Linping Sun

Publication date 13 February 2007

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2006.05.107

zbMATH Keywords

BFGS algorithmBroyden-Fletcher-goldfarb-Shanno methodconvergencederivative-free optimizationnumerical examplespattern search

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Methods of quasi-Newton type (90C53) Derivative-free methods and methods using generalized derivatives (90C56)

Review text

The authors study the general unconstrained optimization problem where the objective function is a continuously differentiable function. It improves upon the classic BFGS (Broyden, Fletcher, Goldfard, Shanno) algorithm, by combining this technique with pattern search. In particular, the conjugate factorization of approximating Hessian matrices of the BFGS scheme are used to produce a series of positive basis for the pattern search. The authors, after presenting the methodological background of the BFGS algorithm and the novelty of their approach in section 2, proceed to study convergence issues (with proof) in section 3. The article concludes with a section containing numerical experimentation and a list of useful references.

Recommendations

• A new quasi-Newton pattern search method based on symmetric rank-one update for unconstrained optimization
• An algorithm for unconstrained optimization
• A globally convergent trust-region algorithm for unconstrained derivative-free optimization
• Solving unconstrained optimization problem with a filter-based nonmonotone pattern search algorithm
• A derivative-free algorithm for unconstrained optimization

Cites work

• `` Direct Search Solution of Numerical and Statistical Problems
• A conjugate direction implementation of the BFGS algorithm with automatic scaling
• Conjugate grids for unconstrained optimisation
• scientific article; zbMATH DE number 3507891 (Why is no real title available?)
• scientific article; zbMATH DE number 3617919 (Why is no real title available?)
• scientific article; zbMATH DE number 1215248 (Why is no real title available?)
• scientific article; zbMATH DE number 721770 (Why is no real title available?)
• scientific article; zbMATH DE number 2002582 (Why is no real title available?)
• scientific article; zbMATH DE number 5232217 (Why is no real title available?)
• More test examples for nonlinear programming codes
• On the convergence of grid-based methods for unconstrained optimization
• On the Convergence of Pattern Search Algorithms
• On the selection of parameters in Self Scaling Variable Metric Algorithms
• On Variable-Metric Methods for Sparse Hessians
• Rank-one and Rank-two Corrections to Positive Definite Matrices Expressed in Product Form
• Supermemory descent methods for unconstrained minimization
• Testing Unconstrained Optimization Software
• Theory of Positive Linear Dependence

Cited in

(7)

• A derivative-free algorithm for unconstrained optimization
• A modified secant equation quasi-Newton method for unconstrained optimization
• New self-scaling quasi-Newton methods for unconstrained optimization
• scientific article; zbMATH DE number 5232217 (Why is no real title available?)
• Exploiting problem structure in pattern search methods for unconstrained optimization
• A new quasi-Newton pattern search method based on symmetric rank-one update for unconstrained optimization
• A heuristic iterated-subspace minimization method with pattern search for unconstrained optimization

Describes a project that uses

Uses Software

• minpack

This page was built for publication: A quasi-Newton based pattern search algorithm for unconstrained optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q864827)