Optimization by Direct Search in Matrix Computations

DOI10.1137/0614023MaRDI QIDQ5286277zbMATH OpenOpenAlexWikidataFDO

Authors Nicholas J. Higham

Publication date 29 June 1993

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL http://eprints.maths.manchester.ac.uk/346/1/0614023.pdf

zbMATH Keywords

alternating direction methodcondition estimatorsdirect search methodsGaussian eliminationmatrix computationsmatrix condition number estimationmatrix inversionmatrix multiplicationmultidirectional search methodQR- factorizationVandermonde system solvers

Mathematics Subject Classification ID

Direct numerical methods for linear systems and matrix inversion (65F05) Numerical computation of matrix norms, conditioning, scaling (65F35) Numerical mathematical programming methods (65K05) Nonlinear programming (90C30)

Review text

Many questions about algorithms in matrix computations can be expressed in terms of the maximum value of some easily computable function \(f\). For many algorithms it is known that direct search is capable of revealing instability or proof performance. In this work the following topics in matrix computations are studied by using direct search methods: condition estimators, matrix inversion, Vandermonde system solvers, matrix multiplication, QR-factorization. The author experiments with two methods: the alternating direction method and the multidirectional search method of \textit{J. E. Dennis jun.} and \textit{V. J. Torczon} [SIAM J. Optimization 1, No. 4, 448-474 (1991; Zbl 0754.90051)].

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Cited in

(19)

• A derivative-free trust region algorithm with nonmonotone filter technique for bound constrained optimization
• Efficient unconstrained black box optimization
• Inverse truss design as a conic mathematical program with equilibrium constraints
• Construction of IMEX DIMSIMs of high order and stage order
• A recursive partitioning algorithm for matrix inversion on parallel computers
• Analysis of direct searches for discontinuous functions
• A New Preconditioner that Exploits Low-Rank Approximations to Factorization Error
• scientific article; zbMATH DE number 1368816 (Why is no real title available?)
• The technique of splitting operators in perturbation control theory.
• Some extensions to a direct optimization method
• Perturbation analysis of orthogonal canonical forms
• A Zeroth-Order Proximal Stochastic Gradient Method for Weakly Convex Stochastic Optimization
• New subspace method for unconstrained derivative-free optimization
• Effective matrix adaptation strategy for noisy derivative-free optimization
• An improved randomized algorithm with noise level tuning for large-scale noisy unconstrained DFO problems
• A derivative-free method using a new underdetermined quadratic interpolation model
• The mean performance of stochastic optimization algorithms may not average
• Estimating the matrix p-norm
• Incorporating minimum Frobenius norm models in direct search

Describes a project that uses

Uses Software

• LAPACK
• subplex

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