An Extension of the Conjugate Directions Method With Orthogonalization to Large-Scale Problems With Bound Constraints |
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| Authors: | Edouard Boudinov Arkadiy Manevich |
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| Institution: | 1. GSLA, Fortis Bank, Amsterdam, The Netherlands;2. Dniepropetrovsk National University, Dniepropetrovsk, Ukraine |
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| Abstract: | In our previous works a new method of conjugate directions for large-scale unconstrained minimization problems has been presented 1, 2]. In the paper this algorithm is extended to minimization problems with bound constraints. Because the linear minimization along the newly found conjugate vector is not needed for constructing the next conjugate vector and one arbitrarily step-size (not necessarily the optimal one) is calculated along this conjugate direction, we are able to incorporate naturally the bound constraints into the algorithm. (© 2005 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim) |
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