Convergence analysis of sparse quasi-Newton updates with positive definite matrix completion for two-dimensional functions

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2011, 1(1): 61-69. doi: 10.3934/naco.2011.1.61

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

Received September 2010 Revised September 2010 Published February 2011

Abstract
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In this paper, we briefly review the extensions of quasi-Newton methods for large-scale optimization. Specially, based on the idea of maximum determinant positive definite matrix completion, Yamashita (2008) proposed a new sparse quasi-Newton update, called MCQN, for unconstrained optimization problems with sparse Hessian structures. In exchange of the relaxation of the secant equation, the MCQN update avoids solving difficult subproblems and overcomes the ill-conditioning of approximate Hessian matrices. A global convergence analysis is given in this paper for the MCQN update with Broyden's convex family assuming that the objective function is uniformly convex and its dimension is only two.
This paper is dedicated to Professor Masao Fukushima on occasion of his 60th birthday.

Keywords: Quasi-Newton method, global convergence., large-scale optimization, positive definite matrix completion, sparsity.

Mathematics Subject Classification: Primary: 90C53, 90C0.

Citation: Yuhong Dai, Nobuo Yamashita. Convergence analysis of sparse quasi-Newton updates with positive definite matrix completion for two-dimensional functions. Numerical Algebra, Control & Optimization, 2011, 1 (1) : 61-69. doi: 10.3934/naco.2011.1.61

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. Google Scholar
[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. Google Scholar
[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. Google Scholar
[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. Google Scholar
[8]	R. Fletcher, An optimal positive definite update for sparse Hessian matrices,, SIAM Journal on Optimization, 5 (1995), 192. doi: 10.1137/0805010. Google Scholar
[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. Google Scholar
[10]	A. Griewank and Ph. L. Toint, On the unconstrained optimization of partially separable objective functions,, in, (1982), 301. Google Scholar
[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. Google Scholar
[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. Google Scholar
[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. Google Scholar
[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. Google Scholar
[15]	J. Nocedal, Updating quasi-Newton matrices with limited storage,, Mathematics of Computation, 35 (1980), 773. doi: 10.1090/S0025-5718-1980-0572855-7. Google Scholar
[16]	M. J. D. Powell, Some global convergence properties of a variable metric algorithm for minimization without exact line searches,, in, (1976), 53. Google Scholar
[17]	D. C. Sorensen, Collinear scaling and sequential estimation in sparse optimization algorithm,, Mathematical Programming Study, 18 (1982), 135. Google Scholar
[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. Google Scholar
[19]	N. Yamashita, Sparse quasi-Newton updates with positive definite matrix completion,, Mathematical Programming, 115 (2008), 1. doi: 10.1007/s10107-007-0137-1. Google Scholar
[20]	Y. Yuan, "Numerical Methods for Nonlinear Programming,", Shanghai Scientific & Technical Publishers, (1993). Google Scholar

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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. Google Scholar
[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. Google Scholar
[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. Google Scholar
[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. Google Scholar
[8]	R. Fletcher, An optimal positive definite update for sparse Hessian matrices,, SIAM Journal on Optimization, 5 (1995), 192. doi: 10.1137/0805010. Google Scholar
[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. Google Scholar
[10]	A. Griewank and Ph. L. Toint, On the unconstrained optimization of partially separable objective functions,, in, (1982), 301. Google Scholar
[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. Google Scholar
[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. Google Scholar
[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. Google Scholar
[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. Google Scholar
[15]	J. Nocedal, Updating quasi-Newton matrices with limited storage,, Mathematics of Computation, 35 (1980), 773. doi: 10.1090/S0025-5718-1980-0572855-7. Google Scholar
[16]	M. J. D. Powell, Some global convergence properties of a variable metric algorithm for minimization without exact line searches,, in, (1976), 53. Google Scholar
[17]	D. C. Sorensen, Collinear scaling and sequential estimation in sparse optimization algorithm,, Mathematical Programming Study, 18 (1982), 135. Google Scholar
[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. Google Scholar
[19]	N. Yamashita, Sparse quasi-Newton updates with positive definite matrix completion,, Mathematical Programming, 115 (2008), 1. doi: 10.1007/s10107-007-0137-1. Google Scholar
[20]	Y. Yuan, "Numerical Methods for Nonlinear Programming,", Shanghai Scientific & Technical Publishers, (1993). Google Scholar

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