Inertia-preserving secant updates

DOI10.1007/BF00939626MaRDI QIDQ1106624zbMATH OpenOpenAlexFDO

Authors S. H. Smith

Publication date 1989

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00939626

zbMATH Keywords

Broyden classoptimally conditioned updateparameter selectionrank-two inertia-preserving updatessecant updatesSR1 update

Mathematics Subject Classification ID

Numerical computation of solutions to systems of equations (65H10) Numerical mathematical programming methods (65K05) Nonlinear programming (90C30)

Review text

A class of rank-two inertia-preserving updates for symmetric matrices \(H_ c\) is studied. To ensure that inertia is preserved, the updates are chosen to be of the form \(H_+=FH_ cF^ t\), where \(F=I+qr^ t\), with q and r selected so that the secant equation is satisfied. A characterization is given for all such updates. Using a parametrization of this family of updates, the connection between them and the Broyden class of updates is established. Also, parameter selection criteria that can be used to choose the optimally conditioned update or the update closest to the SR1 update are discussed.

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Cites work

• A new approach to variable metric algorithms
• A Rapidly Convergent Descent Method for Minimization
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• Conjugate direction methods with variable storage
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• Optimally conditioned optimization algorithms without line searches
• Quasi-Newton Methods, Motivation and Theory
• Rank-one and Rank-two Corrections to Positive Definite Matrices Expressed in Product Form

Cited in

(4)

• A generalized section theorem and a minimax inequality for a vector-valued mapping¹
• A Second-Order Rosenbrock Method Applied to Photochemical Dispersion Problems
• Generation of classes of symmetric rank-2 secant updates and the maximality of the Davidon class
• Updating the principal angle decomposition

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