An active set limited memory BFGS algorithm for large-scale bound constrained optimization

An active set limited memory BFGS algorithm for large-scale bound constrained optimization is proposed. The active sets are estimated by an identification technique. The search direction is determined by a lower dimensional system of linear equations in free subspace. The implementations of the method on CUTE test problems are described, which show the efficiency of the proposed algorithm. Copyright Springer-Verlag 2008

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Year of publication:	2008
Authors:	Xiao, Yunhai ; Li, Dong-Hui
Published in:	Mathematical Methods of Operations Research. - Springer. - Vol. 67.2008, 3, p. 443-454
Publisher:	Springer
Subject:	Bound constrained problem \| Limited memory BFGS method \| Global convergence

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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