Limited memory quasi-newton method for large-scale linearly equality-constrained minimization

Abstract

In this paper, a new limited memory quasi-Newton method is proposed and developed for solving large-scale linearly equality-constrained nonlinear programming problems. In every iteration, a linear equation subproblem is solved by using the scaled conjugate gradient method. A truncated solution of the subproblem is determined so that computation is decreased. The technique of limited memory is used to update the approximated inverse Hessian matrix of the Lagrangian function. Hence, the new method is able to handle large dense problems. The convergence of the method is analyzed and numerical results are reported.