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A conjugate direction implementation of the BFGS algorithm with automatic scaling

Published online by Cambridge University Press:  17 February 2009

Ian D. Coope
Ian D. Coope
Affiliation:
Department of Mathematics, University of Canterbury, Christchurch, N.Z.
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Abstract

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A new implementation of the BFGS algorithm for unconstrained optimisation is reported which utilises a conjugate factorisation of the approximating Hessian matrix. The implementation is especially useful when gradient information is estimated by finite difference formulae and it is well suited to machines which are able to exploit parallel processing.

Information

Type
Research Article
Information
The ANZIAM Journal , Volume 31 , Issue 1 , July 1989 , pp. 122 - 134
Copyright
Copyright © Australian Mathematical Society 1989

References

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