A new BFGS algorithm using the decomposition matrix of the correction matrix to obtain the search directions (Q892527)
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| Language | Label | Description | Also known as |
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| English | A new BFGS algorithm using the decomposition matrix of the correction matrix to obtain the search directions |
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A new BFGS algorithm using the decomposition matrix of the correction matrix to obtain the search directions (English)
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19 November 2015
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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.
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Broyden-Fletcher-Goldfarb-Shanno (BFGS) algorithm
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equal inner product decomposition method for positive-definite matrices
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approximated Hessian matrix
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