The CG-BFGS method for unconstrained optimization problems

Mustafa, Mamat and Ibrahim,, M.A.H.B and June,, L.W. and Sofi,, A.Z.M. (2013) The CG-BFGS method for unconstrained optimization problems. In: 21st National Symposium on Mathematical Sciences: Germination of Mathematical Sciences Education and Research Towards Global Sustainability, SKSM 21, 6 - 8 November 2013, Penang; Malaysia.

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In this paper we present a new search direction known as the CG-BFGS method, which uses the search direction of the conjugate gradient method approach in the quasi-Newton methods. The new algorithm is compared with the quasi-Newton methods in terms of the number of iterations and CPU-time. The Broyden-Fletcher-Goldfarb-Shanno (BFGS) method is used as an updating formula for the approximation of the Hessian for both methods. Our numerical analysis provides strong evidence that our CG-BFGS method is more efficient than the ordinary BFGS method. Besides, we also prove that the new algorithm is globally convergent

Item Type: Conference or Workshop Item (Paper)
Subjects: Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Q Science > QA Mathematics > QA76 Computer software
Divisions: Faculty of Informatics & Computing
Depositing User: Rosnorzaini Rusli
Date Deposited: 19 Oct 2020 06:58
Last Modified: 19 Oct 2020 06:58

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