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A new approach to symmetric rank-one updating

Osborne, Michael; Sun, Li Yun

Description

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]

dc.contributor.authorOsborne, Michael
dc.contributor.authorSun, Li Yun
dc.date.accessioned2015-12-13T23:41:29Z
dc.identifier.issn0272-4979
dc.identifier.urihttp://hdl.handle.net/1885/94931
dc.description.abstractA 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 shows that the new method compares favourably with good implementations of the BFGS method. Thus it appears very competitive in the class of methods which use only function and gradient information.
dc.publisherOxford University Press
dc.sourceIMA Journal of Numerical Analysis
dc.titleA new approach to symmetric rank-one updating
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume19
dc.date.issued1999
local.identifier.absfor010301 - Numerical Analysis
local.identifier.ariespublicationMigratedxPub24643
local.type.statusPublished Version
local.contributor.affiliationOsborne, Michael, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationSun, Li Yun, Macau University of Science and Technology
local.description.embargo2037-12-31
local.bibliographicCitation.issue4
local.bibliographicCitation.startpage497
local.bibliographicCitation.lastpage507
dc.date.updated2015-12-12T09:32:44Z
local.identifier.scopusID2-s2.0-0033239111
CollectionsANU Research Publications

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