On the Local and Superlinear Convergence of Quasi-Newton Methods

This paper presents a local convergence analysis for severalwell-known quasi-Newton methods when used, without line searches,in an iteration of the form to solve for x^* such that Fx^* = 0. The basic idea behind theproofs is that under certain reasonable conditions on x_o, Fand x_o, the errors in the sequence of approximations {H_k} toF'(x^*)^–1 can be shown to be of bounded deterioration inthat these errors, while not ensured to decrease, can increaseonly in a controlled way. Despite the fact that H_k is not shownto approach F'(x^*)^–1, the methods considered, includingthose based on the single-rank Broyden and double-rank Davidon-Fletcher-Powellformulae, generate locally Q-superlinearly convergent sequences{x_k}.