Printable PDF
Department of Mathematics,
University of California San Diego

****************************

Center for Computational Mathematics Seminar

Michael Ferry

UCSD

Projected-Search Methods for Box-Constrained Optimization

Abstract:

We survey several commonly-used quasi-Newton methods and line-search algorithms for unconstrained and box-constrained optimization and consider their underlying strategies. By taking advantage of an implicit similarity in two existing algorithms, we develop a method for box-constrained optimization that includes a new way to compute a search direction and a new line-search algorithm. On a collection of standardized problems, this method is over $35\%$ faster than the leading comparable alternative.

April 12, 2011

11:00 AM

AP&M 2402

****************************