On the behaviour of a combined extra-updating/self-scaling BFGS method

M. Al-Baali

doi:10.1016/S0377-0427(00)00554-9

On the behaviour of a combined extra-updating/self-scaling BFGS method

M. Al-Baali^*

^*Corresponding author for this work

Mathematics

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

Abstract

This paper attempts to combine the best features of certain extra-updating BFGS method and self-scaling BFGS method. It describes an algorithm similar to the BFGS method, except that extra self-scaling updates are employed at some iterations. The BFGS Hessian is scaled and updated a number of times, depending on the information of the first-order derivatives. The results of numerical tests on certain sets of standard problems are reported. It is shown that the new algorithm is very competitive with the BFGS method in several cases.

Original language	English
Pages (from-to)	269-281
Number of pages	13
Journal	Journal of Computational and Applied Mathematics
Volume	134
Issue number	1-2
DOIs	https://doi.org/10.1016/S0377-0427(00)00554-9
Publication status	Published - Sept 1 2001

Keywords

Quasi-newton updates
Self-scaling and extra-updating techniques
The BFGS method
Unconstrained optimization

ASJC Scopus subject areas

Computational Mathematics
Applied Mathematics

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10.1016/S0377-0427(00)00554-9

Cite this

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AB - This paper attempts to combine the best features of certain extra-updating BFGS method and self-scaling BFGS method. It describes an algorithm similar to the BFGS method, except that extra self-scaling updates are employed at some iterations. The BFGS Hessian is scaled and updated a number of times, depending on the information of the first-order derivatives. The results of numerical tests on certain sets of standard problems are reported. It is shown that the new algorithm is very competitive with the BFGS method in several cases.

KW - Quasi-newton updates

KW - Self-scaling and extra-updating techniques

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KW - Unconstrained optimization

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On the behaviour of a combined extra-updating/self-scaling BFGS method

Abstract

Keywords

ASJC Scopus subject areas

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