An Optimal Positive Definite Update for Sparse Hessian Matrices

DOI10.1137/0805010MaRDI QIDQ4764315zbMATH OpenOpenAlexFDO

Authors 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

\(LDL\) factorizationBFGS methodBFGS-formulaLancelot methodNocedal methodnumerical resultsPR-cg methodquasi-Newton update algorithmRosenbrock functionsmooth unconstrained optimizationsparse matrix updatetridiagonal Hessians

Mathematics Subject Classification ID

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

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• scientific article; zbMATH DE number 1101645

Cited in

(27)

• On the updating scheme in a class of collinear scaling algorithms for sparse minimization
• Variable metric methods for unconstrained optimization and nonlinear least squares
• Global convergence of Schubert's method for solving sparse nonlinear equations
• A partitioned PSB method for partially separable unconstrained optimization problems
• Using the KKT matrix in an augmented Lagrangian SQP method for sparse constrained optimization
• Another way to implement the Powell formula for updating Hessian matrices related to transition structures
• Optimization techniques for tree-structured nonlinear problems
• Truncated partitioning group correction algorithms for large-scale sparse unconstrained optimi\-zation
• A Bregman extension of quasi-Newton updates. II: Analysis of robustness properties
• The substitution secant/finite difference method for large scale sparse unconstrained optimization
• Object library of algorithms for dynamic optimization problems: benchmarking SQP and nonlinear interior point methods
• On the Sparse and Symmetric Least-Change Secant Update
• Low‐complexity minimization algorithms
• A note on direct methods for approximations of sparse Hessian matrices
• A structured quasi-Newton algorithm for optimizing with incomplete Hessian information
• Analysis of sparse quasi-Newton updates with positive definite matrix completion
• A Bregman extension of quasi-Newton updates I: An information geometrical framework
• Diagonal bundle method for nonsmooth sparse optimization
• Partitioned quasi-Newton methods for sparse nonlinear equations
• Logarithmic barriers for sparse matrix cones
• Convergence analysis of sparse quasi-Newton updates with positive definite matrix completion for two-dimensional functions
• Sparse Hessian factorization in curved trajectories for unconstrained minimization
• Approximating sparse Hessian matrices using large-scale linear least squares
• Approximating large-scale Hessian matrices using secant equations
• A unified funnel restoration SQP algorithm
• Partitioning group correction Cholesky techniques for large scale sparse unconstrained optimization
• Sparse quasi-Newton updates with positive definite matrix completion

Describes a project that uses

Uses Software

• LANCELOT
• L-BFGS
• ve08

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