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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.