An Alternative Variational Principle for Variable Metric Updating

Nazareth, J.L. (1983). An Alternative Variational Principle for Variable Metric Updating. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-83-012

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Abstract

We describe a variational principle based upon minimizing the extent to which the inverse hessian approximation, say H, violates the quasi-Newton relation, on the step immediately prior to the step used to construct H. It suggests use of the BFGS update.

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