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An active set limited memory BFGS algorithm for large-scale bound constrained optimization |
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| Authors: | Yunhai Xiao Dong-Hui Li |
| Institution: | (1) College of Mathematics and Econometrics, Hunan University, Changsha, 410082, People’s Republic of China;(2) Institute of Applied Mathematics, School of Mathematics and Information Science, Henan University, Kaifeng, 475000, People’s Republic of China |
| Abstract: | An active set limited memory BFGS algorithm for large-scale bound constrained optimization is proposed. The active sets are estimated by an identification technique. The search direction is determined by a lower dimensional system of linear equations in free subspace. The implementations of the method on CUTE test problems are described, which show the efficiency of the proposed algorithm. The work was supported by the 973 project granted 2004CB719402 and the NSF project of China granted 10471036. |
| Keywords: | Bound constrained problem Limited memory BFGS method Global convergence |
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