A family of quasi-Newton methods for unconstrained optimization problems

ABSTRACT

In this paper, we present a class of approximating matrices as a function of a scalar parameter that includes the Davidon-Fletcher-Powell and Broyden-Fletcher-Goldfarb-Shanno methods as special cases. A powerful iterative descent method for finding a local minimum of a function of several variables is described. The new method maintains the positive definiteness of the approximating matrices. For a region in which the function depends quadratically on the variables, no more than n iterations are required, where n is the number of variables. A set of computational results that verifies the superiority of the new method are presented.

ABSTRACT:

• Unconstrained optimization
• quasi-Newton methods
• quadratic convergence
• descent methods

Disclosure statement

No potential conflict of interest was reported by the authors.