Compact Representations of Structured BFGS Matrices

For general large-scale optimization problems compact representations exist in which recursive quasi-Newton update formulas are represented as compact matrix factorizations. For problems in which the objective function contains additional structure, so-called structured quasi-Newton methods exploit available second-derivative information and approximate unavailable second derivatives. This article develops the compact representations of two structured Broyden-Fletcher-Goldfarb-Shanno update formulas. The compact representations enable efficient limited memory and initialization strategies. Two limited memory line search algorithms are described and tested on a collection of problems.


ANL/MCS-P9279-0120, Argonne National Laboratory 9700 South Cass Avenue, 01/2020



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