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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...

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Main Authors: Sim, Hong Seng, Leong, Wah June, Abu Hassan, Malik, Ismail, Fudziah
Format: Article
Language:English
Published: Universiti Putra Malaysia Press 2014
Online Access:http://psasir.upm.edu.my/id/eprint/40563/1/46.%20Preconditioned%20Subspace%20Quasi-Newton%20Method%20for%20Large%20Scale.pdf
http://psasir.upm.edu.my/id/eprint/40563/
http://pertanika.upm.edu.my/Pertanika%20PAPERS/JST%20Vol.%2022%20(1)%20Jan.%202014/16%20Page%20175-192%20(JST%200350-2011).pdf
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spelling my.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
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
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.
format Article
author Sim, Hong Seng
Leong, Wah June
Abu Hassan, Malik
Ismail, Fudziah
spellingShingle Sim, Hong Seng
Leong, Wah June
Abu Hassan, Malik
Ismail, Fudziah
Preconditioned subspace quasi-newton method for large scale optimization
author_facet Sim, Hong Seng
Leong, Wah June
Abu Hassan, Malik
Ismail, Fudziah
author_sort Sim, Hong Seng
title Preconditioned subspace quasi-newton method for large scale optimization
title_short 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_sort preconditioned subspace quasi-newton method for large scale optimization
publisher Universiti Putra Malaysia Press
publishDate 2014
url http://psasir.upm.edu.my/id/eprint/40563/1/46.%20Preconditioned%20Subspace%20Quasi-Newton%20Method%20for%20Large%20Scale.pdf
http://psasir.upm.edu.my/id/eprint/40563/
http://pertanika.upm.edu.my/Pertanika%20PAPERS/JST%20Vol.%2022%20(1)%20Jan.%202014/16%20Page%20175-192%20(JST%200350-2011).pdf
_version_ 1648738109616029696
score 13.211869

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