Note about sparsity exploiting quasi-Newton updates

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    Résumé

    Consideration is given to two questions relating to quasi-Newton updates for unconstrained optimization that exploit any sparsity present in the second derivative matrix of the objective function. First, a family of such updates is derived, that reduces to any a priori known dense update formula when no sparsity is imposed. This family uses the Frobenius projection of the desired update on the subspace of matrices that satisfy all the needed conditions. In the second part, it is proved that, under mild assumptions, a positive definite sparse quasi-Newton update always exists. The proof of this result includes the explicity determination of such an update.

    langue originaleAnglais
    Pages (de - à)172-181
    Nombre de pages10
    journalMathematical Programming
    Volume21
    Numéro de publication2
    Etat de la publicationPublié - 1 janv. 1981

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