A Limited Memory Algorithm for Bound Constrained Optimization
Abstract
An algorithm for solving large nonlinear optimization problems with simple bounds is described. It is based on the gradient projection method and uses a limited memory BFGS matrix to approximate the Hessian of the objective function. It is shown how to take advantage of the form of the limited memory approximation to implement the algorithm efficiently. The results of numerical tests on a set of large problems are reported.
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Copyright © 1995 Society for Industrial and Applied Mathematics.
History
Submitted: 29 November 1993
Accepted: 3 August 1994
Published online: 13 July 2006
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