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Quasi-Newton Algorithms for Large-Scale Nonlinear Least-Squares

  • M. Al-Baali
Part of the Applied Optimization book series (APOP, volume 82)

Abstract

Low storage quasi-Newton algorithms for large-scale nonlinear least-squares problems are considered with “better” modified Hessian approximations defined implicitly in terms of a set of vector pairs. The modification technique replaces one vector of each pair, namely the difference in the gradients of the objective function, by a superior choice in various ways. These vectors introduce information about the true Hessian of this function by exploiting information about the Jacobian matrix of the residual vector of the problem. The proposed technique is also based on a new safeguarded scheme for enforcing the positive definiteness of Hessian approximations. It is shown, in particular, that this technique enhances the quality of the limited memory (L-)BFGS Hessian, maintains the simplicity formulation of the L-BFGS algorithm and improves its performance substantially.

Keywords

nonlinear least-squares problems limited memory BFGS algorithm 

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Copyright information

© Kluwer Academic Publishers B.V. 2003

Authors and Affiliations

  • M. Al-Baali
    • 1
  1. 1.Department of Mathematics and StatisticsSultan Qaboos UniversityMuscatOman

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