Department of Mathematics
61 rue de Bruxelles
B5000 Namur BELGIUM
|Algorithm||Line search method with a search direction obtained by a truncated conjugate gradient technique|
|Modeling Languages link|
|Platform||Any machine with a reasonable amount of memory and a Fortran compiler|
|Remarks||The bounds are handled by bending the search direction on the boundary of the feasible domain. VE08 also contains provision for estimating gradients by finite difference, if they are unavailable, or to check the analytic gradients otherwise. It features both Newton and quasi-Newton algorithms.
VE08 exploits the partially separable structure of many large-scale problems to obtain good efficiency. In particular, it uses the partitioned updating technique when a quasi-Newton method is chosen.
|References||A. Griewank and Ph. L. Toint, Numerical experiments with partially separable optimization problems, in Numerical Analysis: Proceedings Dundee 1983, (D. F. Griffiths, ed.), Lecture Notes in Mathematics 1066, Springer Verlag, 1984, pp. 203--220.
A. Griewank and Ph. L. Toint, Partitioned variable metric updates for large structured optimization problems, Numer. Math. 39 (1982), pp. 429--448.
Ph. L. Toint, User's guide to the routine VE08 for solving partially separable bounded optimization problems, Technical report 83/1, FUNDP, Namur, Belgium, 1983.