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A new approach to symmetric rank-one updating

Osborne, Michael; Sun, Li Yun


A stabilized version of the symmetric rank-one updating method for solving unconstrained optimization problems is developed by introducing a scaling parameter to ensure that successive estimates of the inverse Hessian are positive definite. The properties of this update are studied, and a new algorithm based on this procedure is proposed. This algorithm uses Davidon's idea of optimal conditioning in order to devise heuristics for selecting the scaling parameter automatically. Numerical testing...[Show more]

CollectionsANU Research Publications
Date published: 1999
Type: Journal article
Source: IMA Journal of Numerical Analysis


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