利用线性独立方向的有限储存BFGS法(英文)

提出了线性独立度的概念 ,并在此基础上建立了一个改进的有限储存 BFGS法。该方法继承了标准有限储存 BFGS法的基本特征 ,即储存 m个向量对计算逆二阶近似阵 ,并选择 m个向量对的准则是根据保留的搜索方向的数值线性独立度来确立的。文中进一步讨论了数值线性独立理论 ,并简化了新方法中线性独立度的计算。理论和数值结果表明 ,改进的新方法有效地改善了标准的有限储存法

LIMITED MEMORY BFGS METHOD BY USING LINEAR INDEPENDENT SEARCH DIRECTIONS

The degree of numerical linear independence is proposed and discussed. Based on this linear independence theory, a modified limited memory BFGS method is deve loped. Similar to the standard limited memory method, this new method determines the new update by applying the updating formula m times to an initial positive diagonal matrix using the m previous pairs of the change in iteration and gradient. Besides the most recent pair of the change, which guarantees the quadratic termination, the choice of the other ( m -1) pairs of the change in the new method is dependent on the degree of numerical linear independence of previous search directions. In addition, the numerical linear independence theory is further discussed and the computation of the degree of linear independence is simplified. Theoretical and numerical results show that this new modified method improves efficiently the standard limited memory method.