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A note on memory-less SR1 and memory-less BFGS methods for large-scale unconstrained optimization

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Abstract

The memory-less SR1 and the memory-less BFGS methods are presented together with their numerical performances for solving a set of 800 unconstrained optimization problems with the number of variables in the range [1000, 10,000]. By memory-less quasi-Newton methods, we understand the quasi-Newton methods which are initialized by the unity matrix at every iteration. In these algorithms, the stepsize is computed by the Wolfe line search conditions. The convergence of the memory-less SR1 method is proved under the classical assumptions. Comparison between the memory-less SR1 and the memory-less BFGS method shows that memory-less BFGS is more efficient and more robust than the memory-less SR1. Comparison between memory-less SR1 and BFGS from CONMIN in implementation of Shanno and Phua shows that memory-less SR1 method is more efficient and more robust than BFGS method from CONMIN, one of the best implementation of BFGS. Additionally, comparison of memory-less SR1 and memory-less BFGS versus steepest descent shows that both these memory-less algorithms are more efficient and more robust. Performances of these algorithms for solving five applications from MINPACK-2 collection, each of them with 40,000 variables, are also presented. For solving these applications, the memory-less BFGS is more efficient than the memory-less SR1. It seems that the accuracy of the Hessian approximations along the iterations in quasi-Newton methods is not as crucial in these methods as it is believed.

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  1. Center for Advanced Modeling and Optimization, Academy of Romanian Scientists, 54, Splaiul Independenţei, Sector 5, Bucharest, Romania

    Neculai Andrei

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Andrei, N. A note on memory-less SR1 and memory-less BFGS methods for large-scale unconstrained optimization. Numer Algor 90, 223–240 (2022). https://doi.org/10.1007/s11075-021-01185-8

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