A new BFGS algorithm using the decomposition matrix of the correction matrix to obtain the search directions (Q892527)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A new BFGS algorithm using the decomposition matrix of the correction matrix to obtain the search directions |
scientific article |
Statements
A new BFGS algorithm using the decomposition matrix of the correction matrix to obtain the search directions (English)
0 references
19 November 2015
0 references
Summary: We present an improved method for determining the search direction in the Broyden-Fletcher-Goldfarb-Shanno (BFGS) algorithm. Our approach uses the equal inner product decomposition method for positive-definite matrices. The decomposition of an approximated Hessian matrix expresses a correction formula that is independent from the exact line search. This decomposed matrix is used to compute the search direction in a new BFGS algorithm.
0 references
Broyden-Fletcher-Goldfarb-Shanno (BFGS) algorithm
0 references
equal inner product decomposition method for positive-definite matrices
0 references
approximated Hessian matrix
0 references