A variational derivation of a class of BFGS-like methods

DOI10.1080/02331934.2018.1522635MaRDI QIDQ4646544zbMATHOpenAlexFDO

Authors Michele Pavon

Publication date 14 January 2019

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.00680

zbMATH Keywords

BFGS methodquasi-Newton methodmaximum entropy problemblock BFGS

Mathematics Subject Classification ID

Nonlinear programming (90C30) Methods of quasi-Newton type (90C53)

Abstract: We provide a maximum entropy derivation of a new family of BFGS-like methods. Similar results are then derived for block BFGS methods. This also yields an independent proof of a result of Fletcher 1991 and its generalisation to the block case.

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Cites work

• scientific article; zbMATH DE number 1762841 (Why is no real title available?)
• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• A Family of Variable-Metric Methods Derived by Variational Means
• A New Variational Result for Quasi-Newton Formulae
• Matrix Completion à la Dempster by the Principle of Parsimony
• Nonsmooth optimization via quasi-Newton methods

Cited in

(1)

• Maximum entropy derivation of quasi-Newton methods

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