Dense Initializations in Large-Scale Quasi-Newton Trust-Region Methods

Event Sponsor: 
Mathmatics and Computer Science Division Seminar
Start Date: 
May 22 2018 - 10:30am
Building/Room: 
Building 240/Room 4301
Location: 
Argonne National Laboratory
Speaker(s): 
Johannes Brust
Speaker(s) Title: 
University of California, Merced
Host: 
Sven Leyffer

This talk proposes dense initial quasi-Newton matrices for large-scale optimization methods. Based on an implicit eigendecomposition of large quasi-Newton matrices, we develop novel dense initial matrices. The proposed approach is specifically advantageous in quasi-Newton trust-region methods, because the partial eigendecomposition of quasi-Newton matrices allows for efficient solutions of trust-region subproblems. The proposed method is tested and compared on standard large-scale problems from the CUTEst collection.

Miscellaneous Information: 

This seminar will be streamed; see details at https://anlpress.cels.anl.gov/mcs-streaming-seminars.

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