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

Jean Charles Gilbert; Jorge Nocedal

doi:10.1016/0893-9659(93)90032-I

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

Jean Charles Gilbert^*, Jorge Nocedal

^*Corresponding author for this work

Industrial Engineering and Management Sciences

Research output: Contribution to journal › Article › peer-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 language	English (US)
Pages (from-to)	47-50
Number of pages	4
Journal	Applied Mathematics Letters
Volume	6
Issue number	3
DOIs	https://doi.org/10.1016/0893-9659(93)90032-I
State	Published - May 1993

ASJC Scopus subject areas

Applied Mathematics

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title = "Automatic differentiation and the step computation in the limited memory BFGS method",

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.",

author = "Gilbert, {Jean Charles} and Jorge Nocedal",

note = "Funding Information: *This author was supported by the National Science Foundation Grant INT-9101901, of Energy Grant DEFG02-87ER25047.",

year = "1993",

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doi = "10.1016/0893-9659(93)90032-I",

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AU - Gilbert, Jean Charles

AU - Nocedal, Jorge

N1 - Funding Information: *This author was supported by the National Science Foundation Grant INT-9101901, of Energy Grant DEFG02-87ER25047.

PY - 1993/5

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N2 - 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.

AB - 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.

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