Two limited-memory optimization methods with minimum violation of the previous secant conditions

Jan Vlček () and Ladislav Lukšan
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Jan Vlček: Institute of Computer Science, Czech Academy of Sciences
Ladislav Lukšan: Institute of Computer Science, Czech Academy of Sciences

Computational Optimization and Applications, 2021, vol. 80, issue 3, No 4, 755-780

Abstract: Abstract Limited-memory variable metric methods based on the well-known Broyden-Fletcher-Goldfarb-Shanno (BFGS) update are widely used for large scale optimization. The block version of this update, derived for general objective functions in Vlček and Lukšan (Numerical Algorithms 2019), satisfies the secant conditions with all used difference vectors and for quadratic objective functions gives the best improvement of convergence in some sense, but the corresponding direction vectors are not descent directions generally. To guarantee the descent property of direction vectors and simultaneously violate the secant conditions as little as possible in some sense, two methods based on the block BFGS update are proposed. They can be advantageously used together with methods based on vector corrections for conjugacy. Here we combine two types of these corrections to satisfy the secant conditions with both the corrected and uncorrected (original) latest difference vectors. Global convergence of the proposed algorithm is established for convex and sufficiently smooth functions. Numerical experiments demonstrate the efficiency of the new methods.

Keywords: Unconstrained minimization; Variable metric methods; Limited-memory methods; Variationally derived methods; Global convergence; Numerical results; 65K10; 65F30 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10589-021-00318-y

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