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Iterative Grossone-Based Computation of Negative Curvature Directions in Large-Scale Optimization

Author

Listed:
  • Renato Leone

    (Università degli Studi di Camerino)

  • Giovanni Fasano

    (Università Ca’ Foscari Venezia)

  • Massimo Roma

    (SAPIENZA – Università di Roma)

  • Yaroslav D. Sergeyev

    (Università della Calabria
    Lobachevsky State University)

Abstract

We consider an iterative computation of negative curvature directions, in large-scale unconstrained optimization frameworks, needed for ensuring the convergence toward stationary points which satisfy second-order necessary optimality conditions. We show that to the latter purpose, we can fruitfully couple the conjugate gradient (CG) method with a recently introduced approach involving the use of the numeral called Grossone. In particular, recalling that in principle the CG method is well posed only when solving positive definite linear systems, our proposal exploits the use of grossone to enhance the performance of the CG, allowing the computation of negative curvature directions in the indefinite case, too. Our overall method could be used to significantly generalize the theory in state-of-the-art literature. Moreover, it straightforwardly allows the solution of Newton’s equation in optimization frameworks, even in nonconvex problems. We remark that our iterative procedure to compute a negative curvature direction does not require the storage of any matrix, simply needing to store a couple of vectors. This definitely represents an advance with respect to current results in the literature.

Suggested Citation

  • Renato Leone & Giovanni Fasano & Massimo Roma & Yaroslav D. Sergeyev, 2020. "Iterative Grossone-Based Computation of Negative Curvature Directions in Large-Scale Optimization," Journal of Optimization Theory and Applications, Springer, vol. 186(2), pages 554-589, August.
  • Handle: RePEc:spr:joptap:v:186:y:2020:i:2:d:10.1007_s10957-020-01717-7
    DOI: 10.1007/s10957-020-01717-7
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    References listed on IDEAS

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    1. Nicholas Gould & Dominique Orban & Philippe Toint, 2015. "CUTEst: a Constrained and Unconstrained Testing Environment with safe threads for mathematical optimization," Computational Optimization and Applications, Springer, vol. 60(3), pages 545-557, April.
    2. Giovanni Fasano & Raffaele Pesenti, 2017. "Conjugate Direction Methods and Polarity for Quadratic Hypersurfaces," Journal of Optimization Theory and Applications, Springer, vol. 175(3), pages 764-794, December.
    3. G. Fasano, 2005. "Planar Conjugate Gradient Algorithm for Large-Scale Unconstrained Optimization, Part 2: Application," Journal of Optimization Theory and Applications, Springer, vol. 125(3), pages 543-558, June.
    4. De Leone, Renato, 2018. "Nonlinear programming and Grossone: Quadratic Programing and the role of Constraint Qualifications," Applied Mathematics and Computation, Elsevier, vol. 318(C), pages 290-297.
    5. Caldarola, Fabio, 2018. "The Sierpinski curve viewed by numerical computations with infinities and infinitesimals," Applied Mathematics and Computation, Elsevier, vol. 318(C), pages 321-328.
    6. Donald Goldfarb & Cun Mu & John Wright & Chaoxu Zhou, 2017. "Using negative curvature in solving nonlinear programs," Computational Optimization and Applications, Springer, vol. 68(3), pages 479-502, December.
    7. Sergeyev, Yaroslav D., 2009. "Evaluating the exact infinitesimal values of area of Sierpinski’s carpet and volume of Menger’s sponge," Chaos, Solitons & Fractals, Elsevier, vol. 42(5), pages 3042-3046.
    8. Amodio, P. & Iavernaro, F. & Mazzia, F. & Mukhametzhanov, M.S. & Sergeyev, Ya.D., 2017. "A generalized Taylor method of order three for the solution of initial value problems in standard and infinity floating-point arithmetic," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 141(C), pages 24-39.
    9. Cococcioni, Marco & Pappalardo, Massimo & Sergeyev, Yaroslav D., 2018. "Lexicographic multi-objective linear programming using grossone methodology: Theory and algorithm," Applied Mathematics and Computation, Elsevier, vol. 318(C), pages 298-311.
    10. Gaudioso, Manlio & Giallombardo, Giovanni & Mukhametzhanov, Marat, 2018. "Numerical infinitesimals in a variable metric method for convex nonsmooth optimization," Applied Mathematics and Computation, Elsevier, vol. 318(C), pages 312-320.
    11. G. Fasano, 2007. "Lanczos Conjugate-Gradient Method and Pseudoinverse Computation on Indefinite and Singular Systems," Journal of Optimization Theory and Applications, Springer, vol. 132(2), pages 267-285, February.
    12. Renato De Leone & Giovanni Fasano & Yaroslav D. Sergeyev, 2018. "Planar methods and grossone for the Conjugate Gradient breakdown in nonlinear programming," Computational Optimization and Applications, Springer, vol. 71(1), pages 73-93, September.
    13. G. Fasano, 2005. "Planar Conjugate Gradient Algorithm for Large-Scale Unconstrained Optimization, Part 1: Theory," Journal of Optimization Theory and Applications, Springer, vol. 125(3), pages 523-541, June.
    14. Lolli, Gabriele, 2015. "Metamathematical investigations on the theory of Grossone," Applied Mathematics and Computation, Elsevier, vol. 255(C), pages 3-14.
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    Citations

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    Cited by:

    1. Andrea Caliciotti & Giovanni Fasano & Florian Potra & Massimo Roma, 2020. "Issues on the use of a modified Bunch and Kaufman decomposition for large scale Newton’s equation," Computational Optimization and Applications, Springer, vol. 77(3), pages 627-651, December.
    2. Giovanni Fasano & Massimo Roma, 2011. "A Class of Preconditioners for Large Indefinite Linear Systems, as by-product of Krylov subspace Methods: Part I," Working Papers 4, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.
    3. Giovanni Fasano & Raffaele Pesenti, 2017. "Conjugate Direction Methods and Polarity for Quadratic Hypersurfaces," Journal of Optimization Theory and Applications, Springer, vol. 175(3), pages 764-794, December.
    4. Giovanni Fasano & Massimo Roma, 2016. "A novel class of approximate inverse preconditioners for large positive definite linear systems in optimization," Computational Optimization and Applications, Springer, vol. 65(2), pages 399-429, November.
    5. Marco Corazza & Giacomo Di Tollo & Giovanni Fasano & Raffaele Pesenti, 2015. "A novel initialization of PSO for costly portfolio selection problems," Working Papers 4, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.
    6. Giovanni Fasano, 2015. "A Framework of Conjugate Direction Methods for Symmetric Linear Systems in Optimization," Journal of Optimization Theory and Applications, Springer, vol. 164(3), pages 883-914, March.
    7. Giovanni Fasano & Massimo Roma, 2013. "Preconditioning Newton–Krylov methods in nonconvex large scale optimization," Computational Optimization and Applications, Springer, vol. 56(2), pages 253-290, October.

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