On solving large-scale limited-memory quasi-Newton equations

DOI10.1016/J.LAA.2016.11.003zbMATH Open1352.65104arXiv1510.06378OpenAlexW2962802528MaRDI QIDQ501277FDOQ501277

Authors: Jennifer B. Erway, Roummel F. Marcia 

Publication date: 29 December 2016

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Abstract: We consider the problem of solving linear systems of equations arising with limited-memory members of the restricted Broyden class of updates and the symmetric rank-one (SR1) update. In this paper, we propose a new approach based on a practical implementation of the compact representation for the inverse of these limited-memory matrices. Numerical results suggest that the proposed method compares favorably in speed and accuracy to other algorithms and is competitive with several update-specific methods available to only a few members of the Broyden class of updates. Using the proposed approach has an additional benefit: The condition number of the system matrix can be computed efficiently.

Full work available at URL: https://arxiv.org/abs/1510.06378

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zbMATH Keywords

Sherman-Morrison-Woodbury formulalimited-memory quasi-Newton methodssymmetric rank-one updatecompact representationBroyden class of updatesBroyden-Fletcher-Goldfarb-Shanno updateDavidon-Fletcher-Powell update

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Iterative numerical methods for linear systems (65F10) Numerical computation of matrix norms, conditioning, scaling (65F35)

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Cited In (10)

• Quantitative performance analysis of the improved quasi-minimal residual method on massively distributed memory computers.
• Limited-memory BFGS systems with diagonal updates
• Representations of quasi-Newton matrices and their use in limited memory methods
• Title not available (Why is that?)
• Exact linesearch limited-memory quasi-Newton methods for minimizing a quadratic function
• On efficiently computing the eigenvalues of limited-memory quasi-Newton matrices
• An autoadaptative limited memory Broyden's method to solve systems of nonlinear equations
• A dense initialization for limited-memory quasi-Newton methods
• Shifted L-BFGS systems
• Automatic Preconditioning by Limited Memory Quasi-Newton Updating

Uses Software

• L-BFGS

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