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Inexact trust region PGC method for large sparse unconstrained optimization

机译:大型稀疏无约束优化的不精确信赖域PGC方法

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We present an algorithm, partitioning group correction (PGC) algorithm based on trust region and conjugate gradient method, for large-scale sparse unconstrained optimization. In large sparse optimization, computing the whole Hessian matrix and solving the Newton-like equations at each iteration can be considerably expensive when a trust region method is adopted. The method depends on a symmetric consistent partition of the columns of the Hessian matrix and an inaccurate solution to the Newton-like equations by conjugate gradient method. And we allow that the current direction exceeds the trust region bound if it is a good descent direction. Besides, we studies a method dealing with some sparse matrices having a dense structure part. Some good convergence properties are kept and we contrast the computational behavior of our method with that of other algorithms. Our numerical tests show that the algorithm is promising and quite effective, and that its performance is comparable to or better than that of other algorithms available.
机译:我们提出了一种基于信任区域和共轭梯度法的划分组校正算法,用于大规模稀疏无约束优化。在大型稀疏优化中,当采用信任区域方法时,计算整个Hessian矩阵并在每次迭代时求解类Newton方程可能会非常昂贵。该方法依赖于Hessian矩阵列的对称一致分配和共轭梯度法对Newton-like方程的不精确解。并且,如果下降方向良好,则允许当前方向超出信任区域边界。此外,我们研究了一种处理一些具有密集结构部分的稀疏矩阵的方法。保留了一些良好的收敛性,我们将本方法与其他算法的计算性能进行了对比。我们的数值测试表明,该算法是有前途的并且非常有效,并且其性能与其他可用算法相当或更好。

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