A Reflective Newton Method for Minimizing a Quadratic Function Subject to Bounds on some of the Variables

Authors:
Thomas F. Coleman;Yuying Li
Affiliations:
-;-
Venue:
SIAM Journal on Optimization
Year:
1996

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Abstract

We propose a new algorithm, a reflective Newton method, for the minimization of a quadratic function of many variables subject to upper and lower bounds on some of the variables. The method applies to a general (indefinite) quadratic function for which a local minimizer subject to bounds is required and is particularly suitable for the large-scale problem. Our new method exhibits strong convergence properties and global and second-order convergence and appears to have significant practical potential. Strictly feasible points are generated. We provide experimental results on moderately large and sparse problems based on both sparse Cholesky and preconditioned conjugate gradient linear solvers.