Computational experiments with scaled initial Hessian approximation for the Broyden family methods

M. Al-Baali, D. Conforti*, R. Musmanno

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

In this paper we consider two alternative choices for the factor used to scale the initial Hessian approximation, before updating by a member of the Broyden family of updates for quasi-Newton optimization methods. By extensive computational experiments carried out on a set of standard test problems from the CUTE collection, using efficient implementations of the quasi-Newton method, we show that the proposed new scaling factors are better, in terms of efficiency achieved (number of iterations, number of function and gradient evaluations), than the standard choice proposed in the literature.

Original languageEnglish
Pages (from-to)375-389
Number of pages15
JournalOptimization
Volume48
Issue number3
Publication statusPublished - 2000

Keywords

  • Broyden's class
  • Initial self-scaling
  • Quasi-Newton methods
  • Unconstrained optimization

ASJC Scopus subject areas

  • Management Science and Operations Research
  • Applied Mathematics
  • Control and Optimization

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