A conjugate gradient method with quasi-Newton approximation

Volume 27 / 2000

Jonas Koko Applicationes Mathematicae 27 (2000), 153-165 DOI: 10.4064/am-27-2-153-165

Abstract

The conjugate gradient method of Liu and Storey is an efficient minimization algorithm which uses second derivatives information, without saving matrices, by finite difference approximation. It is shown that the finite difference scheme can be removed by using a quasi-Newton approximation for computing a search direction, without loss of convergence. A conjugate gradient method based on BFGS approximation is proposed and compared with existing methods of the same class.

Authors

  • Jonas Koko

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