一种求解无约束极值问题的无记忆拟牛顿算法 |
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引用本文: | 尉继英.一种求解无约束极值问题的无记忆拟牛顿算法[J].计算数学,1990,12(3):259-269. |
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作者姓名: | 尉继英 |
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作者单位: | 财政部计算中心 |
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摘 要: | §1.引言 求无约束极值常用的方法,有CG算法、变尺度算法以及拟牛顿算法等等.变尺度算法虽然收敛速度快,但是存贮量大(为O(n~2))。CG算法所需存贮量(为O(n))虽小,但在收敛速度上一般不如变尺度法.因此,本文探索收敛速度快且所需存贮量小的算法,以
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关 键 词: | 无约束极值 拟牛顿算法 无记忆 |
A MEMORYLESS QUASI-NEWTON METHOD FOR SOLVING UNCONSTRAINED OPTIMIZATION PROBLEMS |
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Institution: | Yu Ji-ying Computing Center. Ministry of Finance |
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Abstract: | This paper gives a Quasi-Newton method which does not do matrix calculus for a newiteration point. Its convergence is proved. Numerical test shows that the convergence is veryfast for a fixed step algorithm. To get a new iteration point by the fixed step algorithm, thefunctional value is computed once. This method provides a new way for solving large scaleunconstrained optimization problems. |
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