Numerical comparison of several variable-metric algorithms |
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| Authors: | D F Shanno K H Phua |
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| Institution: | (1) Department of Management Information Systems, College of Business and Public Administration, University of Arizona, Tucson, Arizona;(2) Department of Computer Science, Nanyang University, Singapore, Malaysia |
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| Abstract: | The paper compares the numerical performances of the LDL decomposition of the BFGS variable-metric algorithm, the Dennis-Mei dogleg algorithm on the BFGS update, and Davidon's projections with the BFGS update with the straight BFGS update on a number of standard test problems. Numerical results indicate that the standard BFGS algorithm is superior to all of the more complex strategies.This research was supported by the National Science Foundation under Research Grant No. MCS77-07327. |
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| Keywords: | Unconstrained optimization LDL decomposition" target="_blank">gif" alt="prime" align="BASELINE" BORDER="0"> decomposition Davidon projections dogleg algorithm BFGS algorithm |
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