Matrix algebras in quasi-Newton methods for unconstrained minimization (Q1402170): Difference between revisions

The authors describe a new class of quasi-Newton methods for unconstrained minimization problems. The matrix used in the recursion process is defined as the best Frobenius norm least-squares fit of the classical well known choice in quasi-Newton methods, by a special algebra of matrices simultaneously diagonalized by a unitary fast Fourier transform. The method requires \({\mathcal{O}}(n\log n)\) flops per iteration and \({\mathcal{O}}(n)\) memory allocations. Convergence and computational complexity are also analysed for the classes of methods described in the paper.