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Results for “limited memory BFGS”

Search indexed NASA NTRS and DOE OSTI research on propulsion, heat transfer, battery materials and energy systems. Follow report and document links to the original sources.

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7 records
All sourcesNASA NTRSDOE OSTI
DOE OSTI2021

Pre-conditioned BFGS-based uncertainty quantification in elastic full-waveform inversion

SUMMARY Full-waveform inversion has become an essential technique for mapping geophysical subsurface structures. However, proper uncertainty quantification is often lacking in current applications. In theory, uncertainty quantification is related to the inverse Hessian (or the posterior covariance matrix). Even for common geophysical inverse problems its calculation is beyond the computational and storage capacities of the largest high-performance computing systems. In this study, we amend the Broyden–Fletcher–Goldfarb–Shanno (BFGS) algorithm to perform uncertainty quantification for large-scale applications. For seismic inverse problems, the limited-memory BFGS (L-BFGS) method prevails as the most efficient quasi-Newton method. We aim to augment it further to obtain an approximate inverse Hessian for uncertainty quantification in FWI. To facilitate retrieval of the inverse Hessian, we combine BFGS (essentially a full-history L-BFGS) with randomized singular value decomposition to determine a low-rank approximation of the inverse Hessian. Setting the rank number equal to the number of iterations makes this solution efficient and memory-affordable even for large-scale problems. Furthermore, based on the Gauss–Newton method, we formulate different initial, diagonal Hessian matrices as pre-conditioners for the inverse scheme and compare their performances in elastic FWI applications. We highlight our approach with the elastic Marmousi benchmark model, demonstrating the applicability of pre-conditioned BFGS for large-scale FWI and uncertainty quantification.

58 GEOSCIENCES↗
DOE OSTI2024

LATTE: Los Alamos TravelTime package based on Eikonal equation

This Fortran code focuses on traveltime computation and tomography based on eikonal equation. Specifically, the package provides three major functionalities: (1) forward modeling of traveltime from single-point or ensemble source based on factorized eikonal equation, (2) adjoint-state first-arrival traveltime tomography based on picked first arrival traveltime using steepest descent, conjugate gradient, or limited-memory BFGS inversion scheme, and (3) adjoint-state joint transmission-reflection tomography based on picked first-arrival and reflection traveltimes. The package applies to forward modeling and tomography based on traveltime in 2D and 3D isotropic regular-grid models. We name this package LATTE – Los Alamos TravelTime package based on Eikonal equation. * The code is for accompanying a journal paper under preparation. The paper will be submitted via LA-UR separately later.

Gao, Kai↗
DOE OSTI2022

Large-Scale Optimization with Linear Equality Constraints Using Reduced Compact Representation

For optimization problems with linear equality constraints, we prove that the (1,1) block of the inverse KKT matrix remains unchanged when projected onto the nullspace of the constraint matrix. In this work, we develop reduced compact representations of the limited-memory inverse BFGS Hessian to compute search directions efficiently when the constraint Jacobian is sparse. Orthogonal projections are implemented by a sparse QR factorization or a preconditioned LSQR iteration. In numerical experiments two proposed trust-region algorithms improve in computation times, often significantly, compared to previous implementations of related algorithms and compared to IPOPT.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2021

An adaptive Hessian approximated stochastic gradient MCMC method

Bayesian approaches have been successfully integrated into training deep neural networks. One popular family is stochastic gradient Markov chain Monte Carlo methods (SG-MCMC), which have gained increasing interest due to their ability to handle large datasets and the potential to avoid overfitting. Although standard SG-MCMC methods have shown great performance in a variety of problems, they may be inefficient when the random variables in the target posterior densities have scale differences or are highly correlated. Here, we present an adaptive Hessian approximated stochastic gradient MCMC method to incorporate local geometric information while sampling from the posterior. The idea is to apply stochastic approximation (SA) to sequentially update a preconditioning matrix at each iteration. The preconditioner possesses second-order information and can guide the random walk of a sampler efficiently. Instead of computing and saving the full Hessian of the log posterior, we use limited memory of the samples and their stochastic gradients to approximate the inverse Hessian-vector multiplication in the updating formula. Moreover, by smoothly optimizing the preconditioning matrix via SA, our proposed algorithm can asymptotically converge to the target distribution with a controllable bias under mild conditions. To reduce the training and testing computational burden, we adopt a magnitude-based weight pruning method to enforce the sparsity of the network. Our method is user-friendly and demonstrates better learning results compared to standard SG-MCMC updating rules. The approximation of inverse Hessian alleviates storage and computational complexities for large dimensional models. Numerical experiments are performed on several problems, including sampling from 2D correlated distribution, synthetic regression problems, and learning the numerical solutions of heterogeneous elliptic PDE. The numerical results demonstrate great improvement in both the convergence rate and accuracy.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2023

L-BFGS Class Implementation in C++

This report presents a header-only C++ class implementation of the Limited-memory BroydenFletcher-Goldfarb-Shanno (L-BFGS) algorithm. The L-BFGS method is a general purpose quasi-Netwon optimization method that builds an approximation of the descent direction from consecutive iterate and gradient vectors. The limited-memory aspect stems from the replacement of the N × N approximation matrix of the original BFGS method with M vectors of length N. An example usage of the class is included along with the reference source code.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2022

WUS256: An Adjoint Waveform Tomography Model of the Crust and Upper Mantle of the Western United States for Improved Waveform Simulations

Abstract We report a new model (WUS256) of radially anisotropic seismic wavespeeds of the crust and upper mantle of the western United States (WUS) obtained from adjoint waveform tomography for the purpose of improving synthetic waveform fits to observed data. WUS256 is based on inversion of over 94,000 waveforms from 72 earthquakes recorded by nearly 3,400 stations. We started with the SPiRaL global model (Simmons et al., 2021, https://doi.org/10.1093/gji/ggab277 ) and waveforms in the period band of 50–120 s. We followed a conservative multiscale inversion approach with eight stages and 256 total inversion iterations which enabled monotonic misfit reduction to 20‐s minimum‐period waves. WUS256 relied on time‐frequency (TF) phase misfits and a trust region limited memory Broyden–Fletcher–Goldfarb–Shanno (L‐BFGS) optimization. Hessian‐vector products were used to qualitatively assess model resolution. Results indicate that WUS256 has good coverage of the continental regions to depths of about 150 km and is able to resolve features on lateral scales of about 200 km. We quantify waveform fits by the reduction in TF and normalized amplitude difference misfits between WUS256 and the SPiRaL starting model. WUS256 significantly improves waveform fits with misfit reduction 64% for both inversion and validation data sets compared to the SPiRaL starting model and shows even better fits compared to other models. Waveform fits illustrate that WUS256 reproduces body‐waves, fundamental mode surface waves as well as late arriving dispersed and/or scattered short period surface waves. The improvement in waveform fit indicates that WUS256 can be used to reproduce path effects on regional complete waveforms and moment tensor inversions.

58 GEOSCIENCES↗
DOE OSTI2021

Compact representations of structured BFGS matrices

For general large-scale optimization problems compact representations exist in which recursive quasi-Newton update formulas are represented as compact matrix factorizations. For problems in which the objective function contains additional structure, recent structured quasi-Newton methods exploit available second-derivative information and approximate unavailable second derivatives. Here, this article develops the compact representations of two structured Broyden-Fletcher-Goldfarb-Shanno update formulas. The compact representations enable efficient limited memory and initialization strategies. Two limited memory line search algorithms are described for which extensive numerical results demonstrate the efficacy of the algorithms, including comparisons to IPOPT on large machine learning problems, and to L-BFGS on a real world large scale ptychographic imaging application.

97 MATHEMATICS AND COMPUTING↗