AUTOMATIC DIFFERENTIATION AND THE STEP COMPUTATION IN THE LIMITED MEMORY BFGS METHOD

Authors
GILBERT JC NOCEDAL J
Citation
Jc. Gilbert et J. Nocedal, AUTOMATIC DIFFERENTIATION AND THE STEP COMPUTATION IN THE LIMITED MEMORY BFGS METHOD, Applied mathematics letters, 6(3), 1993, pp. 47-50
Citations number
8
Categorie Soggetti
Mathematics,Mathematics
Journal title
Applied mathematics letters → ACNP
ISSN journal
08939659
Volume
6
Issue
3
Year of publication
1993
Pages
47 - 50
Database
ISI
SICI code
0893-9659(1993)6:3<47:ADATSC>2.0.ZU;2-U
Abstract
It is shown that the two-loop recursion for computing the search direc tion of a limited memory method for optimization can be derived by mea ns of the reverse mode of automatic differentiation applied to an auxi liary function.