On the construction of minimisation methods of quasi-Newton type

On the construction of minimisation methods of quasi-Newton type

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Article ID: iaor1988306
Country: Netherlands
Volume: 20
Start Page Number: 239
End Page Number: 246
Publication Date: Nov 1987
Journal: Computational and Applied Mathematics
Authors: ,
Abstract:

The secant equation, which underlies all standard ‘quasi-Newton’ minimisation methods, arises from the use of a linear function to model the gradient along a chosen direction. The authors present new minimisation algorithms, derived by replacing this linear model with a more general one involving a free parameter, which is determined by using information contained in the current approximate Hessian. The use of such a model can give more flexibility in the criteria to be satisfied during the line-search. The new methods can operate as soon as a reasonable approximation to the Hessian has been accumulated and may, in one sense, be viewed as acceleration techniques for quasi-Newton methods.

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