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An adaptive scaled BFGS method for unconstrained optimization

An adaptive scaled BFGS method for unconstrained optimization A new adaptive scaled Broyden-Fletcher-Goldfarb-Shanno (BFGS) method for unconstrained optimization is presented. The third term in the standard BFGS update formula is scaled in order to reduce the large eigenvalues of the approximation to the Hessian of the minimizing function. Under the inexact Wolfe line search conditions, the global convergence of the adaptive scaled BFGS method is proved in very general conditions without assuming the convexity of the minimizing function. Using 80 unconstrained optimization test functions with a medium number of variables, the preliminary numerical experiments show that this variant of the scaled BFGS method is more efficient than the standard BFGS update or than some other scaled BFGS methods. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Numerical Algorithms Springer Journals

An adaptive scaled BFGS method for unconstrained optimization

Numerical Algorithms , Volume 77 (2) – Apr 3, 2017

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References (37)

Publisher
Springer Journals
Copyright
Copyright © 2017 by Springer Science+Business Media New York
Subject
Computer Science; Numeric Computing; Algorithms; Algebra; Theory of Computation; Numerical Analysis
ISSN
1017-1398
eISSN
1572-9265
DOI
10.1007/s11075-017-0321-1
Publisher site
See Article on Publisher Site

Abstract

A new adaptive scaled Broyden-Fletcher-Goldfarb-Shanno (BFGS) method for unconstrained optimization is presented. The third term in the standard BFGS update formula is scaled in order to reduce the large eigenvalues of the approximation to the Hessian of the minimizing function. Under the inexact Wolfe line search conditions, the global convergence of the adaptive scaled BFGS method is proved in very general conditions without assuming the convexity of the minimizing function. Using 80 unconstrained optimization test functions with a medium number of variables, the preliminary numerical experiments show that this variant of the scaled BFGS method is more efficient than the standard BFGS update or than some other scaled BFGS methods.

Journal

Numerical AlgorithmsSpringer Journals

Published: Apr 3, 2017

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