Representations of Quasi-Newton Matrices and Their Use in Limited Memory Methods
Abstract
We derive compact representations of BFGS and symmetric rank-one matrices for optimization. These representations allow us to efficiently implement limited memory methods for large constrained optimization problems. In particular, we discuss how to compute projections of limited memory matrices onto subspaces. We also present a compact representation of the matrices generated by Broyden's update for solving systems of nonlinear equations.
Document Details
- Document Type
- Technical Report
- Publication Date
- Oct 06, 1992
- Accession Number
- ADA454688
Entities
People
- Jorge Nocedal
- Richard H. Byrd
- Robert B. Schnabel
Organizations
- University of Colorado Boulder