An active-set memoryless quasi-Newton method based on a spectral-scaling Broyden family for bound constrained optimization

Abstract

In this paper, we consider an active-set algorithm for solving large-scale bound constrained optimization problems. First, by incorporating a restart technique, we modify the active-set strategy by Yuan and Lu (2011) and combine it with the memoryless quasi-Newton method based on a modified spectral-scaling Broyden family. Then, we propose an algorithm of our method with the framework of the Armijo line search, and show its global convergence. Finally, we illustrate some numerical experiments to investigate how the parameter choice in our method affects numerical performance.

Keywords

• Bound constrained optimization
• Active-set method
• Memoryless quasi-Newton method
• Broyden family
• Global convergence