Preconditioned subspace quasi-newton method for large scale optimization
Subspace quasi-Newton (SQN) method has been widely used in large scale unconstrained optimization problem. Its popularity is due to the fact that the method can construct subproblems in low dimensions so that storage requirement as well as the computation cost can be minimized. However, the main dra...
| المؤلفون الرئيسيون: | , , , |
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| التنسيق: | مقال |
| اللغة: | English |
| منشور في: |
Universiti Putra Malaysia Press
2014
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| الوصول للمادة أونلاين: | http://psasir.upm.edu.my/id/eprint/40563/1/46.%20Preconditioned%20Subspace%20Quasi-Newton%20Method%20for%20Large%20Scale.pdf |
| _version_ | 1825949624779669504 |
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| author | Sim, Hong Seng Leong, Wah June Abu Hassan, Malik Ismail, Fudziah |
| author_facet | Sim, Hong Seng Leong, Wah June Abu Hassan, Malik Ismail, Fudziah |
| author_sort | Sim, Hong Seng |
| collection | UPM |
| description | Subspace quasi-Newton (SQN) method has been widely used in large scale unconstrained optimization problem. Its popularity is due to the fact that the method can construct subproblems in low dimensions so that storage requirement as well as the computation cost can be minimized. However, the main drawback of the SQN method is that it can be very slow on certain types of non-linear problem such as ill-conditioned problems. Hence, we proposed a preconditioned SQN method, which is generally more effective than the SQN method. In order to achieve this, we proposed that a diagonal updating matrix that was derived based on the weak secant relation be used instead of the identity matrix to approximate the initial inverse Hessian. Our numerical results show that the proposed preconditioned SQN method performs better than the SQN method which is without preconditioning. |
| first_indexed | 2024-03-06T08:47:26Z |
| format | Article |
| id | upm.eprints-40563 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T08:47:26Z |
| publishDate | 2014 |
| publisher | Universiti Putra Malaysia Press |
| record_format | dspace |
| spelling | upm.eprints-405632019-10-09T08:26:03Z http://psasir.upm.edu.my/id/eprint/40563/ Preconditioned subspace quasi-newton method for large scale optimization Sim, Hong Seng Leong, Wah June Abu Hassan, Malik Ismail, Fudziah Subspace quasi-Newton (SQN) method has been widely used in large scale unconstrained optimization problem. Its popularity is due to the fact that the method can construct subproblems in low dimensions so that storage requirement as well as the computation cost can be minimized. However, the main drawback of the SQN method is that it can be very slow on certain types of non-linear problem such as ill-conditioned problems. Hence, we proposed a preconditioned SQN method, which is generally more effective than the SQN method. In order to achieve this, we proposed that a diagonal updating matrix that was derived based on the weak secant relation be used instead of the identity matrix to approximate the initial inverse Hessian. Our numerical results show that the proposed preconditioned SQN method performs better than the SQN method which is without preconditioning. Universiti Putra Malaysia Press 2014 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/40563/1/46.%20Preconditioned%20Subspace%20Quasi-Newton%20Method%20for%20Large%20Scale.pdf Sim, Hong Seng and Leong, Wah June and Abu Hassan, Malik and Ismail, Fudziah (2014) Preconditioned subspace quasi-newton method for large scale optimization. Pertanika Journal of Science & Technology, 22 (1). pp. 175-192. ISSN 0128-7680; ESSN: 2231-8526 http://pertanika.upm.edu.my/Pertanika%20PAPERS/JST%20Vol.%2022%20(1)%20Jan.%202014/16%20Page%20175-192%20(JST%200350-2011).pdf |
| spellingShingle | Sim, Hong Seng Leong, Wah June Abu Hassan, Malik Ismail, Fudziah Preconditioned subspace quasi-newton method for large scale optimization |
| title | Preconditioned subspace quasi-newton method for large scale optimization |
| title_full | Preconditioned subspace quasi-newton method for large scale optimization |
| title_fullStr | Preconditioned subspace quasi-newton method for large scale optimization |
| title_full_unstemmed | Preconditioned subspace quasi-newton method for large scale optimization |
| title_short | Preconditioned subspace quasi-newton method for large scale optimization |
| title_sort | preconditioned subspace quasi newton method for large scale optimization |
| url | http://psasir.upm.edu.my/id/eprint/40563/1/46.%20Preconditioned%20Subspace%20Quasi-Newton%20Method%20for%20Large%20Scale.pdf |
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