Global Convergence Property of Scaled Two-Step BFGS Method
| Autor: | Mohammadreza Foroutan, Ali Ebadian, Fahimeh Biglari |
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| Rok vydání: | 2017 |
| Předmět: |
Hessian matrix
021103 operations research Current (mathematics) Property (programming) General Mathematics Computation MathematicsofComputing_NUMERICALANALYSIS 0211 other engineering and technologies 010103 numerical & computational mathematics 02 engineering and technology 01 natural sciences symbols.namesake Broyden–Fletcher–Goldfarb–Shanno algorithm Convergence (routing) symbols Applied mathematics 0101 mathematics Convex function Scaling Mathematics |
| Zdroj: | Mediterranean Journal of Mathematics. 15 |
| ISSN: | 1660-5454 1660-5446 |
| DOI: | 10.1007/s00009-017-1060-1 |
| Popis: | This paper is aimed to extend the scheme of self scaling, appropriate for the quasi-Newton methods, to the two-step quasi-Newton methods. The scaling scheme has been performed during the main approach of updating the current Hessian approximation and prior to the computation of the next quasi-Newton direction whenever necessary. Global convergence property of the new method is explored on uniformly convex functions with the standard Wolfe line search. Preliminary numerical testing has been performed showing that this technique improves the performance of the two-step method substantially. |
| Databáze: | OpenAIRE |
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