On diagonally structured problems in unconstrained optimization using an inexact super Halley method

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• 作者：Geir Gundersen ^{geirg@ii.uib.no} ; Trond Steihaug ; ^{Trond.Steihaug@ii.uib.no}
• 关键词：65K05 ; 90C06 ; 65H10
• 刊名：Journal of Computational and Applied Mathematics
• 出版年：2012
• 期刊代码：72_03770427
• 类别：cp
• 出版时间：September, 2012
• 卷：236
• 期：15
• 页码：3685-3695
• 文件大小：579 K

摘要

We consider solving the unconstrained minimization problem using an iterative method derived from the third order super Halley method. Each iteration of the super Halley method requires the solution of two linear systems of equations. We show a practical implementation using an iterative method to solve the linear systems. This paper introduces an array of arrays (jagged) data structure for storing the second and third derivative of a multivariate function and suitable termination criteria for the (inner) iterative method to achieve a cubic rate of convergence. Using a jagged compressed diagonal storage of the Hessian matrices and for the tensor, numerical results show that storing the diagonals are more efficient than the row or column oriented approach when we use an iterative method for solving the linear systems of equations.