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2009•Journal of Hebei Normal UniversityRequires access

A New Nonmonotone Line Search BFGS Algorithm

Jing Zhang

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Abstract

The application of a kind of nonmonotone line search in BFGS algorithm for solving unconstrained optimization problems is studied.This nonmonotone line search belongs to Armijo-type line searches,and when the step size is being computed at each iteration,the initial test step size can be adjusted according to the characteristics of objective functions.The global convergence of the algorithm is proved.Experiments on some well-known optimization test problems are presented to show the robustness and efficiency of the proposed algorithms.

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What this paper is about

The application of a kind of nonmonotone line search in BFGS algorithm for solving unconstrained optimization problems is studied.This nonmonotone line search belongs to Armijo-type line searches,and when the step size is being computed at each iteration,the initial test step size can be adjusted according to the characteristics of objective functions.The global convergence of the algorithm is proved.Experiments on some well-known optimization test problems are presented to show the robustness and efficiency of the proposed algorithms.

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Available abstract

The application of a kind of nonmonotone line search in BFGS algorithm for solving unconstrained optimization problems is studied.This nonmonotone line search belongs to Armijo-type line searches,and when the step size is being computed at each iteration,the initial test step size can be adjusted according to the characteristics of objective functions.The global convergence of the algorithm is proved.Experiments on some well-known optimization test problems are presented to show the robustness and efficiency of the proposed algorithms.

Key concepts: Broyden–Fletcher–Goldfarb–Shanno algorithm, Line search, Robustness (evolution), Mathematical optimization, Convergence (economics), Algorithm, Mathematics, Computer science

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