A new approach to symmetric rank-one updating
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]
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|Source:||IMA Journal of Numerical Analysis|
|01_Osborne_A_new_approach_to_symmetric_1999.pdf||14.58 kB||Adobe PDF||Request a copy|
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