BFGS method: A new search direction

Mustafa, Mamat and Mohd Asrul Hery, Ibrahim and June, Wah Leong (2014) BFGS method: A new search direction. Sains Malaysiana, 43 (10). pp. 1591-1597. ISSN 01266039

	Image FH02-FIK-14-01837.jpg Restricted to Registered users only Download (106kB) | Request a copy
	Image FH02-FIK-15-02566.jpg Restricted to Registered users only Download (132kB) | Request a copy

Abstract

In this paper we present a new line search method known as the HBFGS method, which uses the search direction of the conjugate gradient method with the quasi-Newton updates. The Broyden-Fletcher-Goldfarb-Shanno (BFGS) update is used as approximation of the Hessian for the methods. The new algorithm is compared with the BFGS method in terms of iteration counts and CPU-time. Our numerical analysis provides strong evidence that the proposed HBFGS method is more efcient than the ordinary BFGS method. Besides, we also prove that the new algorithm is globally convergent.

Actions (login required)

View Item