Global Convergence Analysis of a New Nonmonotone BFGS Algorithm on Convex Objective Functions |
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| Authors: | Jiye Han Guanghui Liu |
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| Affiliation: | (1) Institute of Applied Mathematics, Academia Sinica, Beijing, 100080, China;(2) Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois, U.S.A., 60208 |
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| Abstract: | ![]()
In this paper, a new nonmonotone BFGS algorithmfor unconstrained optimization is introduced. Under mild conditions,the global convergence of this new algorithm on convex functions isproved. Some numerical experiments show that this new nonmonotoneBFGS algorithm is competitive to the BFGS algorithm. |
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| Keywords: | nonmonotone linesearch BFGS algorithm global convergence unconstrained optimization |
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