Exploiting Band Structure in Unconstrained Optimization Without Derivatives

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Summary

A method combining the use of interpolation polynomials and trust-region techniques to minimize a function whose derivatives are not available and how the resulting algorithm may be adapted in a suitable way to consider problems for which the Hessian matrix is known to be sparse is discussed.

Type
article
Published
2001-12-01
Cited by
21
References
37

Keywords

Hessian matrix, Computer science, Interpolation (computer graphics), Financial engineering, Mathematical optimization

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