Quasi-Newton optimization method

Topics

This keyword is related to the topics:

Specification

Alias: none

Argument(s): none

Required/Optional	Dakota Keyword	Dakota Keyword Description
Optional	search_method	Select a search method for Newton-based optimizers
Optional	merit_function	Balance goals of reducing objective function and satisfying constraints
Optional	steplength_to_boundary	Controls how close to the boundary of the feasible region the algorithm is allowed to move
Optional	centering_parameter	Controls how closely the algorithm should follow the "central path"
Optional	max_step	Max change in design point
Optional	gradient_tolerance	Stopping critiera based on L2 norm of gradient
Optional	linear_inequality_constraint_matrix	Define coefficients of the linear inequality constraints
Optional	linear_inequality_lower_bounds	Define lower bounds for the linear inequality constraint
Optional	linear_inequality_upper_bounds	Define upper bounds for the linear inequality constraint
Optional	linear_inequality_scale_types	Specify how each linear inequality constraint is scaled
Optional	linear_inequality_scales	Define the characteristic values to scale linear inequalities
Optional	linear_equality_constraint_matrix	Define coefficients of the linear equalities
Optional	linear_equality_targets	Define target values for the linear equality constraints
Optional	linear_equality_scale_types	Specify how each linear equality constraint is scaled
Optional	linear_equality_scales	Define the characteristic values to scale linear equalities
Optional	model_pointer	Identifier for model block to be used by a method

Description

This is a Newton method that expects a gradient and computes a low-rank approximation to the Hessian. Each of the Newton-based methods are automatically bound to the appropriate OPT++ algorithm based on the user constraint specification (unconstrained, bound-constrained, or generally-constrained). In the generally-constrained case, the Newton methods use a nonlinear interior-point approach to manage the constraints.

See package_optpp for info related to all optpp methods.