Approximating Hessians in multilevel unconstrained optimization

Vincent Malmedy, Philippe Toint

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Résumé

The properties of multilevel optimization problems defined on a hierarchy of discretization grids can be used to define approximate secant equations, which describe the second-order behaviour of the objective function. Following earlier work by Gratton and Toint (2009), we introduce a quasi-Newton method (with a linesearch) and a nonlinear conjugate gradient method that both take advantage of this new second-order information. We then present numerical experiments with these methods and formulate recommendations for their practical use.
langue originaleAnglais
Pages (de - à)1-22
Nombre de pages22
journalComputational Optimization and Applications
Volume50
Numéro de publication1
Etat de la publicationPublié - 2011

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