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A Subspace Minimization Method for Constrained Optimization
Michael Ferry
Department of Mathematics
University of California, San Diego
Abstract
We will discuss how certain properties of quasi-Newton methods have been
exploited to derive an efficient algorithm for unconstrained
optimization, which works by restricting search directions to a subspace
at each iteration. Then we will present a new algorithm, RH-B, which
applies these principles to problems with bound constraints. This will
include a discussion about issues with the current implementation,
suggestions for future versions and numerical results.
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