A globally and quadratically convergent algorithm with efficient implementation for unconstrained optimization
From MaRDI portal
Publication:747220
DOI10.1007/S40314-014-0172-5zbMATH Open1401.90177arXiv1212.5452OpenAlexW3098305860MaRDI QIDQ747220FDOQ747220
Authors: Ya-Guang Yang 
Publication date: 23 October 2015
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Abstract: In this paper, an efficient modified Newton type algorithm is proposed for nonlinear unconstrianed optimization problems. The modified Hessian is a convex combination of the identity matrix (for steepest descent algorithm) and the Hessian matrix (for Newton algorithm). The coefficients of the convex combination are dynamically chosen in every iteration. The algorithm is proved to be globally and quadratically convergent for (convex and nonconvex) nonlinear functions. Efficient implementation is described. Numerical test on widely used CUTE test problems is conducted for the new algorithm. The test results are compared with those obtained by MATLAB optimization toolbox function { t fminunc}. The test results are also compared with those obtained by some established and state-of-the-art algorithms, such as a limited memory BFGS, a descent and conjugate gradient algorithm, and a limited memory and descent conjugate gradient algorithm. The comparisons show that the new algorithm is promising.
Full work available at URL: https://arxiv.org/abs/1212.5452
Recommendations
- scientific article; zbMATH DE number 4110473
- Global convergence of a modified BFGS-type method for unconstrained non-convex minimization
- An algorithm for unconstrained optimization
- Globally convergent algorithms for unconstrained optimization
- A nonmonotone modified BFGS algorithm for nonconvex unconstrained optimization problems
Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26)
Cites Work
- CUTE
- TACO: a toolkit for AMPL control optimization
- Title not available (Why is that?)
- Updating Quasi-Newton Matrices with Limited Storage
- The Geometry of Algorithms with Orthogonality Constraints
- Function minimization by conjugate gradients
- Line search algorithms with guaranteed sufficient decrease
- Title not available (Why is that?)
- A New Conjugate Gradient Method with Guaranteed Descent and an Efficient Line Search
- Convergence Conditions for Ascent Methods
- Convergence Conditions for Ascent Methods. II: Some Corrections
- A method for the solution of certain non-linear problems in least squares
- Title not available (Why is that?)
- Newton-type methods for unconstrained and linearly constrained optimization
- The Limited Memory Conjugate Gradient Method
- On the quadratic convergence of the Levenberg-Marquardt method without nonsingularity assumption
- The Sequential Parameter Optimization Toolbox
- Self-adaptive inexact proximal point methods
- Globally convergent optimization algorithms on Riemannian manifolds: Uniform framework for unconstrained and constrained optimization
- Descentwise inexact proximal algorithms for smooth optimization
- A survey of conjugate gradient algorithms for solution of extreme eigen-problems of a symmetric matrix
- Computing Modified Newton Directions Using a Partial Cholesky Factorization
- In favor of conjugate directions: a generalized acceptable-point algorithm for function minimization
- On conjugate gradient-like methods for eigen-like problems
Cited In (6)
- A robust BFGS algorithm for unconstrained nonlinear optimization problems
- An Algorithm for Unconstrained Quadratically Penalized Convex Optimization
- A polynomial time infeasible interior-point arc-search algorithm for convex optimization
- Title not available (Why is that?)
- UOBYQA: unconstrained optimization by quadratic approximation
- The spherical quadratic steepest descent (SQSD) method for unconstrained minimization with no explicit line searches
Uses Software
This page was built for publication: A globally and quadratically convergent algorithm with efficient implementation for unconstrained optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q747220)
