BFGS method: a new search direction
In this paper we present a new line search method known as the HBFGS method, which uses the search direction of the conjugate gradient method with the quasi-Newton updates. The Broyden-Fletcher-Goldfarb-Shanno (BFGS) update is used as approximation of the Hessian for the methods. The new algorithm i...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2014
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| Online Access: | http://psasir.upm.edu.my/id/eprint/36630/ http://psasir.upm.edu.my/id/eprint/36630/1/BFGS%20method.pdf |
| Summary: | In this paper we present a new line search method known as the HBFGS method, which uses the search direction of the conjugate gradient method with the quasi-Newton updates. The Broyden-Fletcher-Goldfarb-Shanno (BFGS) update is used as approximation of the Hessian for the methods. The new algorithm is compared with the BFGS method in terms of iteration counts and CPU-time. Our numerical analysis provides strong evidence that the proposed HBFGS method is more efficient than the ordinary BFGS method. Besides, we also prove that the new algorithm is globally convergent. |
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