Automatic differentiation and the step computation in the limited memory BFGS method

Jean Charles Gilbert*, Jorge Nocedal

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

It is shown that the two-loop recursion for computing the search direction of a limited memory method for optimization can be derived by means of the reverse mode of automatic differentiation applied to an auxilliary function.

Original languageEnglish (US)
Pages (from-to)47-50
Number of pages4
JournalApplied Mathematics Letters
Volume6
Issue number3
DOIs
StatePublished - May 1993

ASJC Scopus subject areas

  • Applied Mathematics

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