An Improved Algorithm of BFGS and Its Convergence Analysis
Kuilin Chen
Abstract
Kuilin Chen
Abstract
A class of modified BFGS method based on the new quasi-Newton equation Bk+1sk=y*k is presented in the paper to solve the unconstrained optimization problem.The author proved the global convergence and superlinear convergence of the algorithm under certain assumptions.
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A class of modified BFGS method based on the new quasi-Newton equation Bk+1sk=y*k is presented in the paper to solve the unconstrained optimization problem.The author proved the global convergence and superlinear convergence of the algorithm under certain assumptions.
Key concepts: Broyden–Fletcher–Goldfarb–Shanno algorithm, Convergence (economics), Algorithm, Mathematics, Mathematical optimization, Class (philosophy), Applied mathematics, Computer science