printable pdf
比利时vs摩洛哥足彩 ,
university of california san diego

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center for computational mathematics seminar

anders forsgren

kth royal institute of technology - stockholm, sweden

on solving an unconstrained quadratic program by the method of conjugate gradients and quasi-newton methods

abstract:

solving an unconstrained quadratic program means solving a linear equation where the matrix is symmetric and positive definite. this is a fundamental subproblem in nonlinear optimization. we discuss the behavior of the method of conjugate gradients and quasi-newton methods on a quadratic problem. we show that by interpreting the method of conjugate gradients as a particular exact line search quasi-newton method, necessary and sufficient conditions can be given for an exact line search quasi-newton method to generate a search direction which is parallel to that of the method of conjugate gradients. the analysis gives a condition on the quasi-newton matrix at a particular iterate, the projection is inherited from the method of conjugate gradients. we also analyze update matrices and show that there is a family of symmetric rank-one update matrices that preserve positive definiteness of the quasi-newton matrix. this is in contrast to the classical symmetric-rank-one update where there is no freedom in choosing the matrix, and positive definiteness cannot be preserved.

march 7, 2017

10:00 am

ap&m 2402

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