A rank-one algorithm for unconstrained function minimization |
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| Authors: | D O Norris J D Gerken |
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| Institution: | (1) Department of Mathematics, Ohio University, Athens, Ohio;(2) American Electric Power Service, Athens, Ohio |
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| Abstract: | A rank-one algorithm is presented for unconstrained function minimization. The algorithm is a modified version of Davidon's variance algorithm and incorporates a limited line search. It is shown that the algorithm is a descent algorithm; for quadratic forms, it exhibits finite convergence, in certain cases. Numerical studies indicate that it is considerably superior to both the Davidon-Fletcher-Powell algorithm and the conjugate-gradient algorithm. |
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| Keywords: | Unconstrained function minimization rank-one algorithm descent algorithm quadratic form |
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