Tackling Box-Constrained Optimization via a New Projected Quasi-Newton Approach

@article{Kim2010TacklingBO,
  title={Tackling Box-Constrained Optimization via a New Projected Quasi-Newton Approach},
  author={Dongmin Kim and Suvrit Sra and Inderjit S. Dhillon},
  journal={SIAM J. Scientific Computing},
  year={2010},
  volume={32},
  pages={3548-3563}
}
Numerous scientific applications across a variety of fields depend on box-constrained convex optimization. Box-constrained problems therefore continue to attract research interest. We address box-constrained (strictly convex) problems by deriving two new quasi-Newton algorithms. Our algorithms are positioned between the projected-gradient [J. B. Rosen, J. SIAM, 8(1), 1960, pp. 181–217], and projected-Newton [D. P. Bertsekas, SIAM J. Cont. & Opt., 20(2), 1982, pp. 221–246] methods. We also prove… CONTINUE READING

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