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Finding search directions in quasi-Newton methods for minimizing a quadratic function subject to uncertainty
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Numerical Analysis, Optimization and Systems Theory. Xidian Univ, Sch Math & Stat, Xian 710126, Peoples R China.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Numerical Analysis, Optimization and Systems Theory.ORCID iD: 0000-0003-0418-5682
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Numerical Analysis, Optimization and Systems Theory.ORCID iD: 0000-0003-1764-5449
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Numerical Analysis, Optimization and Systems Theory.ORCID iD: 0000-0002-6252-7815
2025 (English)In: Computational optimization and applications, ISSN 0926-6003, E-ISSN 1573-2894Article in journal (Refereed) Published
Abstract [en]

We investigate quasi-Newton methods for minimizing a strongly convex quadratic function which is subject to errors in the evaluation of the gradients. In particular, we focus on computing search directions for quasi-Newton methods that all give identical behavior in exact arithmetic, generating minimizers of Krylov subspaces of increasing dimensions, thereby having finite termination. The BFGS quasi-Newton method may be seen as an ideal method in exact arithmetic and is empirically known to behave very well on a quadratic problem subject to small errors. We investigate large-error scenarios, in which the expected behavior is not so clear. We consider memoryless methods that are less expensive than the BFGS method, in that they generate low-rank quasi-Newton matrices that differ from the identity by a symmetric matrix of rank two. In addition, a more advanced model for generating the search directions is proposed, based on solving a chance-constrained optimization problem. Our numerical results indicate that for large errors, such a low-rank memoryless quasi-Newton method may perform better than a BFGS method. In addition, the results indicate a potential edge by including the chance-constrained model in the memoryless quasi-Newton method.

Place, publisher, year, edition, pages
Springer Nature , 2025.
Keywords [en]
Quadratic programming, Quasi-Newton method, Stochastic quasi-Newton method, Chance constrained model
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-360747DOI: 10.1007/s10589-025-00661-4ISI: 001426490300001Scopus ID: 2-s2.0-105001073066OAI: oai:DiVA.org:kth-360747DiVA, id: diva2:1941713
Note

QC 20250303

Available from: 2025-03-03 Created: 2025-03-03 Last updated: 2025-05-27Bibliographically approved

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Peng, ShenCanessa, GianpieroEk, DavidForsgren, Anders

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