Improved Automatic Computation of Hessian Matrix Spectral Bounds

DOI10.1137/15M1025773MaRDI QIDQ5739795zbMATH OpenFDO

Authors Moritz Schulze Darup, Martin Mönnigmann

Publication date 20 July 2016

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.06161

zbMATH Keywords

eigenvalue boundsHessianspectral bounds

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Interval and finite arithmetic (65G30)

Abstract: This paper presents a fast and powerful method for the computation of eigenvalue bounds for Hessian matrices $abl{a}^{2}varphi(x)$ of nonlinear functions $varphi:Usubseteq{R}^{n}ightarrowR$ on hyperrectangles $BsubsetU$. The method is based on a recently proposed procedure for an efficient computation of spectral bounds using extended codelists. Both the previous approach and the one presented here substantially differ from established methods in that they do deliberately not use any interval matrices and thus result in a favorable numerical complexity of order $O(n),N(varphi)$, where $N(varphi)$ denotes the number of operations needed to evaluate $varphi$ at a point in its domain. We improve the previous method by exploiting sparsity, which naturally arises in the underlying codelists.

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Cites work

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• Efficient computation of spectral bounds for Hessian matrices on hyperrectangles for global optimization
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Cited in

(8)

• Improved automatic masters for eigenvalue economization
• Nonconvex constrained optimization by a filtering branch and bound
• An algorithmic approach to multiobjective optimization with decision uncertainty
• Efficient computation of spectral bounds for Hessian matrices on hyperrectangles for global optimization
• Fast calculation of spectral bounds for Hessian matrices on hyperrectangles
• Efficient Calculation of Bounds on Spectra of Hessian Matrices
• scientific article; zbMATH DE number 1057698 (Why is no real title available?)
• A Branch--and--Bound-Based Algorithm for Nonconvex Multiobjective Optimization

Describes a project that uses

Uses Software

• INTOPT_90

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