Abstract. In this article, we consider solvers for large-scale trust-region subproblems when the quadratic model is defined by a limited-memory symmetric rank-one (L-SR1) quasi-Newton matrix. We propose a solver that exploits the compact representation of L-SR1 matrices. Our approach makes use of both an orthonormal basis for the eigenspace of the L-SR1 matrix and the ShermanMorrison-Woodbury formula to compute global solutions to trust-region subproblems. To compute the optimal Lagrange multiplier for the trust-region constraint, we use Newton's method with a judicious initial guess that does not require safeguarding. A crucial property of this solver is that it is able to compute high-accuracy solutions even in the so-called hard case. Additionally, the optimal solution is determined directly by formula, not iteratively. Numerical experiments demonstrate the effectiveness of this solver.
Abstract. In this paper, we consider the problem of efficiently computing the eigenvalues of limited-memory quasi-Newton matrices that exhibit a compact formulation. In addition, we produce a compact formula for quasi-Newton matrices generated by any member of the Broyden convex class of updates.Our proposed method makes use of efficient updates to the QR factorization that substantially reduces the cost of computing the eigenvalues after the quasiNewton matrix is updated. Numerical experiments suggest that the proposed method is able to compute eigenvalues to high accuracy. Applications for this work include modified quasi-Newton methods and trust-region methods for large-scale optimization, the efficient computation of condition numbers and singular values, and sensitivity analysis.
Abstract. We consider methods for large-scale unconstrained minimization based on finding an approximate minimizer of a quadratic function subject to a two-norm trust-region constraint. The Steihaug-Toint method uses the conjugate-gradient (CG) algorithm to minimize the quadratic over a sequence of expanding subspaces until the iterates either converge to an interior point or cross the constraint boundary. However, if the CG method is used with a preconditioner, the Steihaug-Toint method requires that the trust-region norm be defined in terms of the preconditioning matrix. If a different preconditioner is used for each subproblem, the shape of the trust-region can change substantially from one subproblem to the next, which invalidates many of the assumptions on which standard methods for adjusting the trust-region radius are based. In this paper we propose a method that allows the trust-region norm to be defined independently of the preconditioner. The method solves the inequality constrained trust-region subproblem over a sequence of evolving low-dimensional subspaces. Each subspace includes an accelerator direction defined by a regularized Newton method for satisfying the optimality conditions of a primal-dual interior method. A crucial property of this direction is that it can be computed by applying the preconditioned CG method to a positivedefinite system in both the primal and dual variables of the trust-region subproblem. Numerical experiments on problems from the CUTEr test collection indicate that the method can require significantly fewer function evaluations than other methods. In addition, experiments with generalpurpose preconditioners show that it is possible to significantly reduce the number of matrix-vector products relative to those required without preconditioning.
Abstract. We consider the problem of finding an approximate minimizer of a general quadratic function subject to a two-norm constraint. The Steihaug-Toint method minimizes the quadratic over a sequence of expanding subspaces until the iterates either converge to an interior point or cross the constraint boundary. The benefit of this approach is that an approximate solution may be obtained with minimal work and storage. However, the method does not allow the accuracy of a constrained solution to be specified. We propose an extension of the Steihaug-Toint method that allows a solution to be calculated to any prescribed accuracy. If the Steihaug-Toint point lies on the boundary, the constrained problem is solved on a sequence of evolving low-dimensional subspaces. Each subspace includes an accelerator direction obtained from a regularized Newton method applied to the constrained problem. A crucial property of this direction is that it can be computed by applying the conjugate-gradient method to a positive-definite system in both the primal and dual variables of the constrained problem. The method includes a parameter that allows the user to take advantage of the tradeoff between the overall number of function evaluations and matrixvector products associated with the underlying trust-region method. At one extreme, a low-accuracy solution is obtained that is comparable to the Steihaug-Toint point. At the other extreme, a highaccuracy solution can be specified that minimizes the overall number of function evaluations at the expense of more matrix-vector products.
In this paper, we investigate a formula to solve systems of the form (B + σI)x = y, where B is a limited-memory BFGS quasi-Newton matrix and σ is a positive constant. These types of systems arise naturally in largescale optimization such as trust-region methods as well as doubly-augmented Lagrangian methods. We show that provided a simple condition holds on B 0 and σ, the system (B + σI)x = y can be solved via a recursion formula that requies only vector inner products. This formula has complexity M 2 n, where M is the number of L-BFGS updates and n ≫ M is the dimension of x.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
hi@scite.ai
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.