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Objective acceleration for unconstrained optimization

Abstract:

Acceleration schemes can dramatically improve existing optimization procedures. In most of the work on these schemes, such as nonlinear Generalized Minimal Residual (N-GMRES), acceleration is based on minimizing the $\ell_2$ norm of some target on subspaces of $\mathbb{R}^n$. There are many numerical examples that show how accelerating general purpose and domain-specific optimizers with N-GMRES results in large improvements. We propose a natural modification to N-GMRES, which significantly im...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Publisher's Version

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Publisher copy:
10.1002/nla.2216

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Institution:
University of Oxford
Division:
MPLS Division
Department:
Mathematical Institute
Oxford college:
Trinity College
Role:
Author
ORCID:
0000-0002-5861-7885
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Grant:
Centre for Doctoral Training in Industrially Focused Mathematical Modelling (EP/L015803/1)
Publisher:
Wiley Publisher's website
Journal:
Numerical Linear Algebra with Applications Journal website
Volume:
26
Issue:
1
Pages:
e2216
Publication date:
2018-10-02
Acceptance date:
2018-09-07
DOI:
EISSN:
1099-1506
ISSN:
1070-5325
Pubs id:
pubs:847321
URN:
uri:b13d69ca-8b30-4ca3-8ef0-40a865cdbcc4
UUID:
uuid:b13d69ca-8b30-4ca3-8ef0-40a865cdbcc4
Local pid:
pubs:847321

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