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The weekly SILO Seminar Series is made possible through the generous support of the 3M Company and its Advanced Technology Group


with additional support from the Analytics Group of the Northwestern Mutual Life Insurance Company

Northwestern Mutual

Quasi-Newton Trust-Region Methods

Roummel F. Marcia, Associate Professor of Applied Mathematics, University of California, Merced

Date and Time: Nov 11, 2015 (12:30 PM)
Location: Orchard room (3280) at the Wisconsin Institute for Discovery Building


Quasi-Newton methods are viable alternatives to Newton's method for solving optimization problems because they do not require computing and solving with the potentially very large Hessian matrix while still maintaining a superlinear convergence rate.  Systems of linear equations arising from quasi-Newton methods can be solved efficiently using the compact representation of the quasi-Newton matrices. In this talk, we present a compact formulation for the entire Broyden convex class of updates for limited-memory quasi-Newton methods.  Furthermore, we demonstrate how they can be used to solve large-scale trust-region subproblems with quasi-Newton Hessian approximations.

Joint work with Jennifer Erway (Wake Forest University) and Johannes Brust (UC Merced)