A limited memory algorithm for bound constrained optimization

Richard H. Byrd; Peihuang Lu; Jorge Nocedal; Ciyou Zhu

doi:10.1137/0916069

A limited memory algorithm for bound constrained optimization

Richard H. Byrd, Peihuang Lu, Jorge Nocedal, Ciyou Zhu

Industrial Engineering and Management Sciences

Research output: Contribution to journal › Article › peer-review

Abstract

An algorithm for solving large nonlinear optimization problems with simple bounds is described. It is based on the gradient projection method and uses a limited memory BFGS matrix to approximate the Hessian of the objective function. It is shown how to take advantage of the form of the limited memory approximation to implement the algorithm efficiently. The results of numerical tests on a set of large problems are reported.

Original language	English
Pages (from-to)	1190-1208
Journal	SIAM Journal on Scientific Computing
Volume	16
DOIs	https://doi.org/10.1137/0916069
State	Published - Sep 1995

Access to Document

10.1137/0916069

Cite this

@article{53712fe04a3448cfb8598b14afab59b3,

title = "A limited memory algorithm for bound constrained optimization",

abstract = "An algorithm for solving large nonlinear optimization problems with simple bounds is described. It is based on the gradient projection method and uses a limited memory BFGS matrix to approximate the Hessian of the objective function. It is shown how to take advantage of the form of the limited memory approximation to implement the algorithm efficiently. The results of numerical tests on a set of large problems are reported.",

author = "Byrd, {Richard H.} and Peihuang Lu and Jorge Nocedal and Ciyou Zhu",

year = "1995",

month = sep,

doi = "10.1137/0916069",

language = "English",

volume = "16",

pages = "1190--1208",

journal = "SIAM Journal on Scientific Computing",

issn = "1064-8275",

publisher = "Society for Industrial and Applied Mathematics Publications",

}

TY - JOUR

T1 - A limited memory algorithm for bound constrained optimization

AU - Byrd, Richard H.

AU - Lu, Peihuang

AU - Nocedal, Jorge

AU - Zhu, Ciyou

PY - 1995/9

Y1 - 1995/9

N2 - An algorithm for solving large nonlinear optimization problems with simple bounds is described. It is based on the gradient projection method and uses a limited memory BFGS matrix to approximate the Hessian of the objective function. It is shown how to take advantage of the form of the limited memory approximation to implement the algorithm efficiently. The results of numerical tests on a set of large problems are reported.

AB - An algorithm for solving large nonlinear optimization problems with simple bounds is described. It is based on the gradient projection method and uses a limited memory BFGS matrix to approximate the Hessian of the objective function. It is shown how to take advantage of the form of the limited memory approximation to implement the algorithm efficiently. The results of numerical tests on a set of large problems are reported.

U2 - 10.1137/0916069

DO - 10.1137/0916069

M3 - Article

SN - 1064-8275

VL - 16

SP - 1190

EP - 1208

JO - SIAM Journal on Scientific Computing

JF - SIAM Journal on Scientific Computing

ER -

A limited memory algorithm for bound constrained optimization

Abstract

Access to Document

Fingerprint

Cite this