An active set limited memory BFGS algorithm for large-scale bound constrained optimization.

*(English)*Zbl 1145.90084Summary: An active set limited memory BFGS algorithm for large-scale bound constrained optimization is proposed. The active sets are estimated by an identification technique. The search direction is determined by a lower dimensional system of linear equations in free subspace. The implementations of the method on CUTE test problems are described, which show the efficiency of the proposed algorithm.

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\textit{Y. Xiao} and \textit{D.-H. Li}, Math. Methods Oper. Res. 67, No. 3, 443--454 (2008; Zbl 1145.90084)

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