We present a new matrix-free method for the large-scale trust-region subproblem, assuming that the approximate Hessian is updated by the L-BFGS formula with m = 1 or 2. We determine via simple formulas the eigenvalues of these matrices and, at each iteration, we construct a positive definite matrix whose inverse can be expressed analytically, without using factorization. Consequently, a direction of negative curvature can be computed immediately by applying the inverse power method. The computation of the trial step is obtained by performing a sequence of inner products and vector summations. Furthermore, it immediately follows that the strong convergence properties of trust region methods are preserved. Numerical results are also presented.
Abstract. We present a nearly-exact method for the large scale trust region subproblem (TRS) based on the properties of the minimal-memory BFGS method. Our study in concentrated in the case where the initial BFGS matrix can be any scaled identity matrix. The proposed method is a variant of the Moré-Sorensen method that exploits the eigenstructure of the approximate Hessian B, and incorporates both the standard and the hard case. The eigenvalues are expressed analytically, and consequently a direction of negative curvature can be computed immediately by performing a sequence of inner products and vector summations. Thus, the hard case is handled easily while the Cholesky factorization is completely avoided. An extensive numerical study is presented, for covering all the possible cases arising in the TRS with respect to the eigenstructure of B. Our numerical experiments confirm that the method is suitable for very large scale problems.
Abstract-We present a new curvilinear algorithmic model for training neural networks which is based on a modifications of the memoryless BFGS method that incorporates a curvilinear search. The proposed model exploits the nonconvexity of the error surface based on information provided by the eigensystem of memoryless BFGS matrices using a pair of directions; a memoryless quasi-Newton direction and a direction of negative curvature. In addition, the computation of the negative curvature direction is accomplished by avoiding any storage and matrix factorization. Simulations results verify that the proposed modification significantly improves the efficiency of the training process.
a b s t r a c tWe present a new matrix-free method for the computation of negative curvature directions based on the eigenstructure of minimal-memory BFGS matrices. We determine via simple formulas the eigenvalues of these matrices and we compute the desirable eigenvectors by explicit forms. Consequently, a negative curvature direction is computed in such a way that avoids the storage and the factorization of any matrix. We propose a modification of the L-BFGS method in which no information is kept from old iterations, so that memory requirements are minimal. The proposed algorithm incorporates a curvilinear path and a linesearch procedure, which combines two search directions; a memoryless quasi-Newton direction and a direction of negative curvature. Results of numerical experiments for large scale problems are also presented.
Abstract-Artificial neural networks have been widely used for knowledge extraction from biomedical datasets and constitute an important role in bio-data exploration and analysis. In this work, we proposed a new curvilinear algorithm for training large neural networks which is based on the analysis of the eigenstructure of the memoryless BFGS matrices. The proposed method preserves the strong convergence properties provided by the quasi-Newton direction while simultaneously it exploits the nonconvexity of the error surface through the computation of the negative curvature direction without using any storage and matrix factorization. Moreover, for improving the generalization capability of trained ANNs, we explore the incorporation of several dimensionality reduction techniques as a pre-processing step.
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