ON THE CONVERGENCE OF PARALLEL BFGS METHOD

According to the sequential BFGS method, in this paper we present an asynchronous parallel BFGS method in the case when the gradient information about the function is inexact. We assume that we have p + q processors, which are divided-into two groups, the first group has p processors, the second group has q processors, the two groups are asynchronous. parallel, If we assume the objective function is twice continuously differentiable and uniformly convex, we prove the iteration converge globally to the solution, and under some additional conditions we show the method is superlinearly convergent. Finally, we show the numerical results of this algorithm.

无约束最优化问题的BFGS松弛异步并行算法

为解决大规模非线性最优化问题的串行求解速度慢的问题,提出应用松弛异步并行算法求解无约束最优化问题。根据无约束最优化问题的BFGS串行算法,在PC机群环境下将其并行化。利用CHOLESKY方法分解系数为对称正定矩阵的线性方程组,运用无序松弛异步并行方法求解解向量和Wolfe-Powell非线性搜索步长,并行求解BFGS修正公式,构建BFGS松弛异步并行算法,并对算法的时间复杂性、加速比进行分析。在PC机群的实验结果表明,该算法提高了无约束最优化问题的求解速度且负载均衡,算法具有线性加速比。

无约束最优化问题的BFGS并行算法与实现

介绍无约束最优化问题的BFGS算法及其收敛性,提出利用行卷帘格式并行Cholesky分解法、同步并行Wolfe-Powell非线性搜索和并行处理BFGS修正公式来构建BFGS的并行算法,并对该算法的时间复杂性、加速比进行分析。在PC机群数值实验的结果表明,BFGS并行算法提高了无约束最优化问题的求解速度,理论分析与实验结果相一致,并行算法具有线性加速比。