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Authors:Lennart Frimannslund: Department of Informatics, University of Bergen, Norway
Trond Steihaug: Department of Informatics, University of Bergen, Norway
Publication title:A Generating Set Search Method Exploiting Curvature and Sparsity
Conference:Nordic MPS 2004. The Ninth Meeting of the Nordic Section of the Mathematical Programming Society
Publication type: Abstract and Fulltext
Issue:014
Article No.:004
Abstract: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.
Language:English
Year:2004
No. of pages:15
Pages:57-71
Series:Linköping Electronic Conference Proceedings
ISSN (print):1650-3686
ISSN (online):1650-3740
File:http://www.ep.liu.se/ecp/014/004/ecp014004.pdf
Available:2004-12-28
Publisher:Linköping University Electronic Press; Linköpings universitet

REFERENCE TO THIS PAGE
Lennart Frimannslund, Trond Steihaug (2004). A Generating Set Search Method Exploiting Curvature and Sparsity, Nordic MPS 2004. The Ninth Meeting of the Nordic Section of the Mathematical Programming Society http://www.ep.liu.se/ecp_article/index.en.aspx?issue=014;article=004 (accessed 10/25/2014)