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Improved convergence properties of the Lin-Fukushima-Regularization method for mathematical programs with complementarity constraints
Convergence analysis of sparse quasi-Newton updates with positive definite matrix completion for two-dimensional functions
1. | State Key Laboratory of Scientific and Engineering Computing, Institute of Computational Mathematics and Scientific/Engineering Computing, P.O. Box 2719, Beijing 100080 |
2. | Graduate School of Informatics, Kyoto University, Yoshida-honmachi, Sakyo-ku, Kyoto, 606-8501, Japan |
  This paper is dedicated to Professor Masao Fukushima on occasion of his 60th birthday.
References:
[1] |
R. Byrd and J. Nocedal, A tool for the analysis of quasi-Newton methods with application to unconstrained optimization,, SIAM Journal on Numerical Analysis, 26 (1989), 727.
doi: 10.1137/0726042. |
[2] |
R. Byrd, J. Nocedal and Y. Yuan, Global convergence of a class of quasi-Newton methods on convex problems,, SIAM Journal on Numerical Analysis, 24 (1987), 1171.
doi: 10.1137/0724077. |
[3] |
M. H. Cheng and Y. H. Dai, A new sparse quasi-Newton update method,, Research report, (2010). Google Scholar |
[4] |
Y. H. Dai, Convergence properties of the BFGS algorithm,, SIAM Journal on Optimization, 13 (2003), 693.
doi: 10.1137/S1052623401383455. |
[5] |
Y. H. Dai, A perfect example for the BFGS method,, Research report, (2010). Google Scholar |
[6] |
Y. H. Dai and N. Yamashita, Analysis of sparse quasi-Newton updates with positive definite matrix completion,, Research report, (2007). Google Scholar |
[7] |
J. E. Dennis, Jr. and J. J. Moré, Quasi-Newton method, motivation and theory,, SIAM Review, 19 (1977), 46.
doi: 10.1137/1019005. |
[8] |
R. Fletcher, An optimal positive definite update for sparse Hessian matrices,, SIAM Journal on Optimization, 5 (1995), 192.
doi: 10.1137/0805010. |
[9] |
M. Fukuda, M. Kojima, K. Murota and K. Nakata, Exploiting sparsity in semidefinite programming via matrix completion I: General frameworks,, SIAM Journal on Optimization, 11 (2000), 647.
doi: 10.1137/S1052623400366218. |
[10] |
A. Griewank and Ph. L. Toint, On the unconstrained optimization of partially separable objective functions,, in, (1982), 301.
|
[11] |
D. H. Li and M. Fukushima, On the global convergence of BFGS method for nonconvex unconstrained optimization problems,, SIAM Journal on Optimization, 11 (2001), 1054.
doi: 10.1137/S1052623499354242. |
[12] |
D. H. Li and M. Fukushima, A modified BFGS method and its global convergence in nonconvex minimization,, Journal of Computational and Applied Mathematics, 129 (2001), 15.
doi: 10.1016/S0377-0427(00)00540-9. |
[13] |
D. C. Liu and J. Nocedal, On the limited memory BFGS method for large scale optimization,, Mathematical Programming, 45 (1989), 503.
doi: 10.1007/BF01589116. |
[14] |
W. F. Mascarenhas, The BFGS algorithm with exact line searches fails for nonconvex functions,, Mathematical Programming, 99 (2004), 49.
doi: 10.1007/s10107-003-0421-7. |
[15] |
J. Nocedal, Updating quasi-Newton matrices with limited storage,, Mathematics of Computation, 35 (1980), 773.
doi: 10.1090/S0025-5718-1980-0572855-7. |
[16] |
M. J. D. Powell, Some global convergence properties of a variable metric algorithm for minimization without exact line searches,, in, (1976), 53.
|
[17] |
D. C. Sorensen, Collinear scaling and sequential estimation in sparse optimization algorithm,, Mathematical Programming Study, 18 (1982), 135.
|
[18] |
P. L. Toint, On sparse and symmetric matrix updating subject to a linear equation,, Mathematics of Computation, 31 (1977), 954.
doi: 10.1090/S0025-5718-1977-0455338-4. |
[19] |
N. Yamashita, Sparse quasi-Newton updates with positive definite matrix completion,, Mathematical Programming, 115 (2008), 1.
doi: 10.1007/s10107-007-0137-1. |
[20] |
Y. Yuan, "Numerical Methods for Nonlinear Programming,", Shanghai Scientific & Technical Publishers, (1993). Google Scholar |
show all references
References:
[1] |
R. Byrd and J. Nocedal, A tool for the analysis of quasi-Newton methods with application to unconstrained optimization,, SIAM Journal on Numerical Analysis, 26 (1989), 727.
doi: 10.1137/0726042. |
[2] |
R. Byrd, J. Nocedal and Y. Yuan, Global convergence of a class of quasi-Newton methods on convex problems,, SIAM Journal on Numerical Analysis, 24 (1987), 1171.
doi: 10.1137/0724077. |
[3] |
M. H. Cheng and Y. H. Dai, A new sparse quasi-Newton update method,, Research report, (2010). Google Scholar |
[4] |
Y. H. Dai, Convergence properties of the BFGS algorithm,, SIAM Journal on Optimization, 13 (2003), 693.
doi: 10.1137/S1052623401383455. |
[5] |
Y. H. Dai, A perfect example for the BFGS method,, Research report, (2010). Google Scholar |
[6] |
Y. H. Dai and N. Yamashita, Analysis of sparse quasi-Newton updates with positive definite matrix completion,, Research report, (2007). Google Scholar |
[7] |
J. E. Dennis, Jr. and J. J. Moré, Quasi-Newton method, motivation and theory,, SIAM Review, 19 (1977), 46.
doi: 10.1137/1019005. |
[8] |
R. Fletcher, An optimal positive definite update for sparse Hessian matrices,, SIAM Journal on Optimization, 5 (1995), 192.
doi: 10.1137/0805010. |
[9] |
M. Fukuda, M. Kojima, K. Murota and K. Nakata, Exploiting sparsity in semidefinite programming via matrix completion I: General frameworks,, SIAM Journal on Optimization, 11 (2000), 647.
doi: 10.1137/S1052623400366218. |
[10] |
A. Griewank and Ph. L. Toint, On the unconstrained optimization of partially separable objective functions,, in, (1982), 301.
|
[11] |
D. H. Li and M. Fukushima, On the global convergence of BFGS method for nonconvex unconstrained optimization problems,, SIAM Journal on Optimization, 11 (2001), 1054.
doi: 10.1137/S1052623499354242. |
[12] |
D. H. Li and M. Fukushima, A modified BFGS method and its global convergence in nonconvex minimization,, Journal of Computational and Applied Mathematics, 129 (2001), 15.
doi: 10.1016/S0377-0427(00)00540-9. |
[13] |
D. C. Liu and J. Nocedal, On the limited memory BFGS method for large scale optimization,, Mathematical Programming, 45 (1989), 503.
doi: 10.1007/BF01589116. |
[14] |
W. F. Mascarenhas, The BFGS algorithm with exact line searches fails for nonconvex functions,, Mathematical Programming, 99 (2004), 49.
doi: 10.1007/s10107-003-0421-7. |
[15] |
J. Nocedal, Updating quasi-Newton matrices with limited storage,, Mathematics of Computation, 35 (1980), 773.
doi: 10.1090/S0025-5718-1980-0572855-7. |
[16] |
M. J. D. Powell, Some global convergence properties of a variable metric algorithm for minimization without exact line searches,, in, (1976), 53.
|
[17] |
D. C. Sorensen, Collinear scaling and sequential estimation in sparse optimization algorithm,, Mathematical Programming Study, 18 (1982), 135.
|
[18] |
P. L. Toint, On sparse and symmetric matrix updating subject to a linear equation,, Mathematics of Computation, 31 (1977), 954.
doi: 10.1090/S0025-5718-1977-0455338-4. |
[19] |
N. Yamashita, Sparse quasi-Newton updates with positive definite matrix completion,, Mathematical Programming, 115 (2008), 1.
doi: 10.1007/s10107-007-0137-1. |
[20] |
Y. Yuan, "Numerical Methods for Nonlinear Programming,", Shanghai Scientific & Technical Publishers, (1993). Google Scholar |
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