Abstract
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.
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The work was supported by the 973 project granted 2004CB719402 and the NSF project of China granted 10471036.
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Xiao, Y., Li, DH. An active set limited memory BFGS algorithm for large-scale bound constrained optimization. Math Meth Oper Res 67, 443–454 (2008). https://doi.org/10.1007/s00186-007-0199-0
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DOI: https://doi.org/10.1007/s00186-007-0199-0