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Computational Optimization and Applications

, Volume 74, Issue 3, pp 669–701 | Cite as

Large-scale quasi-Newton trust-region methods with low-dimensional linear equality constraints

  • Johannes J. BrustEmail author
  • Roummel F. Marcia
  • Cosmin G. Petra
Article
  • 122 Downloads

Abstract

We propose two limited-memory BFGS (L-BFGS) trust-region methods for large-scale optimization with linear equality constraints. The methods are intended for problems where the number of equality constraints is small. By exploiting the structure of the quasi-Newton compact representation, both proposed methods solve the trust-region subproblems nearly exactly, even for large problems. We derive theoretical global convergence results of the proposed algorithms, and compare their numerical effectiveness and performance on a variety of large-scale problems.

Keywords

Linear equality constraints Quasi-Newton L-BFGS Trust-region algorithm Compact representation Eigendecomposition Shape-changing norm 

Notes

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Copyright information

© This is a U.S. Government work and not under copyright protection in the US; foreign copyright protection may apply  2019

Authors and Affiliations

  1. 1.Argonne National LaboratoryLemontUSA
  2. 2.University of California MercedMercedUSA
  3. 3.Lawrence Livermore National LaboratoryLivermoreUSA

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