Article | Nordic MPS 2004. The Ninth Meeting of the Nordic Section of the Mathematical Programming Society | A Generating Set Search Method Exploiting Curvature and Sparsity

Title:
A Generating Set Search Method Exploiting Curvature and Sparsity
Author:
Lennart Frimannslund: Department of Informatics, University of Bergen, Norway Trond Steihaug: Department of Informatics, University of Bergen, Norway
Download:
Full text (pdf)
Year:
2004
Conference:
Nordic MPS 2004. The Ninth Meeting of the Nordic Section of the Mathematical Programming Society
Issue:
014
Article no.:
004
Pages:
57-71
No. of pages:
15
Publication type:
Abstract and Fulltext
Published:
2004-12-28
Series:
Linköping Electronic Conference Proceedings
ISSN (print):
1650-3686
ISSN (online):
1650-3740
Publisher:
Linköping University Electronic Press; Linköpings universitet


Generating Set Search method are one of the few alternatives for optimising high fidelity functions with numerical noise. These methods are usually only efficient when the number of variables is relatively small. This paper presents a modification to an existing Generating Set Search method; which makes it aware of the sparsity structure of the Hessian. The aim is to enable the efficient optimisation of functions with a relatively large number of variables. Numerical results show a decrease in the number function evaluation it takes to reach the optimal solution; sometimes by significant margins; on noisy as well as smooth problems; for a modest as well as relatively large number of variables.

Nordic MPS 2004. The Ninth Meeting of the Nordic Section of the Mathematical Programming Society

Author:
Lennart Frimannslund, Trond Steihaug
Title:
A Generating Set Search Method Exploiting Curvature and Sparsity
References:
No references available

Nordic MPS 2004. The Ninth Meeting of the Nordic Section of the Mathematical Programming Society

Author:
Lennart Frimannslund, Trond Steihaug
Title:
A Generating Set Search Method Exploiting Curvature and Sparsity
Note: the following are taken directly from CrossRef
Citations:
No citations available at the moment