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author:

Goh, B.S. (Goh, B.S..) [1] | Peng, Z. (Peng, Z..) [2] | Lee, C.S. (Lee, C.S..) [3] | Yang, J. (Yang, J..) [4] | Kong, M. (Kong, M..) [5]

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Abstract:

The long-term optimal trajectory to compute a minimum point consists of a sequence of greatest descent steps followed by the Newton step in the last iteration. The greatest descent direction can be approximated by a Levenberg-Marquardt like formula. There is a simple way to prescribe the relative steplengths so that the approximate greatest descent (AGD) direction merges into the Newton direction near a minimum point. This enables fast local convergence of the AGD method near a minimum point. Here we examine the use of the Bk matrices, defined by a quasi-Newton update formula, as a way to model and approximate the Hessian matrix of a nonlinear function. These Bk matrices are used in the AGD iteration rather than the Newton iteration. Used in this manner numerical errors in the Bk matrices can be tolerated when the point is at a large distance from the minimum point. Furthermore, Bk is not required to be positive definite or nonsingular. Instead we require a weaker condition, namely the function is monotonic decreasing. This can always be achieved by using a small steplength. Computational errors can make the Bk matrix singular and not positive definite. From numerical experiments the main advantage of using the B k matrix rather than the Hessian matrix in the AGD method is that it is faster when the number of variables is large. Copyright © 2011 Watam Press.

Keyword:

Convergence; Greatest descent direction; Newton method; Quasi-Newton method; Unconstrained optimization

Community:

  • [ 1 ] [Goh, B.S.]Institute of Mathematical Sciences, University of Malaya, 50603 Kuala Lumpur, Malaysia
  • [ 2 ] [Peng, Z.]College of Mathematics and Computer Science, Fuzhou University, 350108, Fuzhou, China
  • [ 3 ] [Lee, C.S.]Mathematics and Mathematics Education, Nanyang Technological University, Singapore
  • [ 4 ] [Yang, J.]Mathematics Department, Nanjing University, Nanjing, Jiangsu 210093, China
  • [ 5 ] [Kong, M.]Mathematics Department, Nanjing University, Nanjing, Jiangsu 210093, China

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Source :

Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms

ISSN: 1492-8760

Year: 2011

Issue: 1

Volume: 18

Page: 17-28

0 . 1 9 3

JCR@2006

Cited Count:

WoS CC Cited Count: 0

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ESI Highly Cited Papers on the List: 0 Unfold All

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30 Days PV: 2

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