A New BFGS Algorithm Using the Decomposition Matrix of the Correction Matrix to Obtain the Search Directions

oleh: Li Liu

Format: Article
Diterbitkan: Wiley 2015-01-01

Deskripsi

We present an improved method for determining the search direction in the 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.