A modified BFGS method and its global convergence in nonconvex minimization (Q5936068): Difference between revisions

A modification of the BFGS method for unconstrained optimization is proposed. The authors study the following unconstrained optimization problem: \(\min f(x)\), \(x\in\mathbb{R}^n\), where \(f: \mathbb{R}^n\to \mathbb{R}\) is continuously differentiable function. The objective function \(f\) has Lischitz continuous gradients. Main result: The authors show (the precise proofs are given) a global convergence property even without convexity assumption on the objective function. Under certain conditions superlinear convergence of the proposed method is presented.