Safeguarding Hessian Approximations in Trust Region Algorithms
RICE UNIV HOUSTON TX DEPT OF MATHEMATICAL SCIENCES
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In establishing global convergence results for trust region algorithms applied to unconstrained optimization, it is customary to assume either a uniform upper bound on the sequence of Hessian approximations or an upper bound linear in the iteration count. The former property has not been established for most commonly used secant updates, and the latter has only been established for some updates under the highly restrictive assumption of convexity. One purpose of the uniform upper bound assumption is to establish a technical condition we refer to as the uniform predicted decrease condition. We show that this condition can also be obtained by milder assumptions, the simplest of which is a uniform upper bound on the sequence of Rayleigh quotients of the Hessian approximations in the gradient directions. This in turn suggests both a simple procedure for detecting questionable Hessian approximations and several natural procedures for correcting them when detected. In numerical testing, one of these procedures increased the reliability of the popular BFGS method by a factor of two i.e., the procedure halved the number of test cases to fail to converge to a critical point in a reasonable number of iterations. Further, for those problems where both methods were successful, this safeguarding procedure actually improved the average efficiency of the BFGS by ten to twenty percent. Key words. Unconstrained optimization, trust region methods, secant methods, quasi-Newton methods, global convergence.
- Numerical Mathematics