Unconstrained Optimization

Numerical Experience with a Recursive Trust-Region Method for Multilevel Nonlinear Optimization

  • Serge Gratton
  • Annick Sartenaer
  • Philippe L. Toint
    • Categories Nonlinear Optimization, Systems governed by Differential Equations Optimization, Unconstrained Optimization Tags , , , ,

    We consider an implementation of the recursive multilevel trust-region algorithm proposed by Gratton, Sartenaer, Toint (2004), and provide significant numerical experience on multilevel test problems. A suitable choice of the algorithm’s parameters is identified on these problems, yielding a very satisfactory compromise between reliability and efficiency. The resulting default algorithm is then compared to alternative … Read more

    An Extension of the Proximal Point Method for Quasiconvex Minimization

  • Paulo Roberto Oliveira
  • Erik Alex Papa Quiroz
    • Categories Generalized Convexity/Monoticity, Unconstrained Optimization Tags , , ,

    In this paper we propose an extension of the proximal point method to solve minimization problems with quasiconvex objective functions on the Euclidean space and the nonnegative orthant. For the unconstrained minimization problem, assumming that the function is bounded from below and lower semicontinuous we prove that iterations fxkg given by 0 2 b@(f(:)+(k=2)jj:􀀀xk􀀀1jj2)(xk) are … Read more

    On the divergence of line search methods

  • Walter F. Mascarenhas
    • Categories Unconstrained Optimization Tags

    We discuss the convergence of line search methods for minimization. We explain how Newton’s method and the BFGS method can fail even if the restrictions of the objective function to the search lines are strictly convex functions, the level sets of the objective functions are compact, the line searches are exact and the Wolfe conditions … Read more

    Perturbed projections and subgradient projections for the multiple-sets split feasibility problem

  • Yair Censor
  • Avi Motova
  • Alexander Segal
    • Categories Convex and Nonsmooth Optimization, Unconstrained Optimization

    We study the multiple-sets split feasibility problem that requires to find a point closest to a family of closed convex sets in one space such that its image under a linear transformation will be closest to another family of closed convex sets in the image space. By casting the problem into an equivalent problem in … Read more

    Coordinate and Subspace Optimization Methods for Linear Least Squares with Non-Quadratic Regularization

  • Michael Elad
  • Michael Zibulevsky
  • Boaz Matalon
    • Categories Statistics, Unconstrained Optimization Tags , , , , ,

    This work addresses the problem of regularized linear least squares (RLS) with non-quadratic separable regularization. Despite being frequently deployed in many applications, the RLS problem is often hard to solve using standard iterative methods. In a recent work [10], a new iterative method called Parallel Coordinate Descent (PCD) was devised. We provide herein a convergence … Read more

    Using Partial Separability of Functions in Generating Set Search Methods for Unconstrained Optimisation

  • Lennart Frimannslund
  • Trond Steihaug
    • Categories Unconstrained Optimization Tags , , , , , ,

    Generating set Search Methods (GSS), a class of derivative-free methods for unconstrained optimisation, are in general robust but converge slowly. It has been shown that the performance of these methods can be enhanced by utilising accumulated information about the objective function as well as a priori knowledge such as partial separability. This paper introduces a … Read more

    Second-order convergence properties of trust-region methods using incomplete curvature information, with an application to multigrid optimization

  • Serge Gratton
  • Annick Sartenaer
  • Philippe L. Toint
    • Categories Optimization of Systems modeled by PDEs, Systems governed by Differential Equations Optimization, Unconstrained Optimization Tags , ,

    Convergence properties of trust-region methods for unconstrained nonconvex optimization is considered in the case where information on the objective function’s local curvature is incomplete, in the sense that it may be restricted to a fixed set of “test directions” and may not be available at every iteration. It is shown that convergence to local “weak” … Read more

    On the behavior of the conjugate-gradient method on ill-conditioned problems

  • Anders Forsgren
    • Categories Quadratic Programming, Unconstrained Optimization Tags , ,

    We study the behavior of the conjugate-gradient method for solving a set of linear equations, where the matrix is symmetric and positive definite with one set of eigenvalues that are large and the remaining are small. We characterize the behavior of the residuals associated with the large eigenvalues throughout the iterations, and also characterize the … Read more

    An efficient conjugate direction method with orthogonalization for large-scale quadratic optimization problems

  • Edouard Boudinov
  • Arkadiy Manevich
    • Categories Nonlinear Optimization, Unconstrained Optimization Tags , , , ,

    A new conjugate direction method is proposed, which is based on an orthogonalization procedure and does not make use of line searches for the conjugate vector set construction. This procedure prevents the set of conjugate vectors from degeneracy and eliminates high sensitivity to computation errors pertinent to methods of conjugate directions, resulting in an efficient … Read more

    Trust-region interior-point method for large sparse l_1 optimization.

  • Ladislav Lukšan
  • Ctirad Matonoha
  • Jan Vlček
    • Categories Nonsmooth Optimization, Unconstrained Optimization Tags ,

    In this paper, we propose an interior-point method for large sparse l_1 optimization. After a short introduction, the complete algorithm is introduced and some implementation details are given. We prove that this algorithm is globally convergent under standard mild assumptions. Thus nonconvex problems can be solved successfully. The results of computational experiments given in this … Read more