An alternative variational principle for variable metric updating

Nazareth JL (1984). An alternative variational principle for variable metric updating. Mathematical Programming 30 (1): 99-104. DOI:10.1007/BF02591801.

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We describe a variational principle based upon minimizing the extent to which the inverse hessian approximation, sayH, violates the quasi-Newton relation, on the step immediately prior to the step used to constructH. Its application to the case when line searches are exact suggests use of the BFGS update.

Item Type: Article
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: Romeo Molina
Date Deposited: 05 Apr 2016 08:31
Last Modified: 05 Apr 2016 08:31

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