Note on an extension of “Davidon” methods to nondifferentiable functions |
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Authors: | Claude Lemarechal |
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Institution: | 1. IRIA—Laboria, Le Chesnay, France
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Abstract: | Some properties of “Davidon”, or variable metric, methods are studied from the viewpoint of convex analysis; they depend on the convexity of the function to be minimized rather than on its being approximately quadratic. An algorithm is presented which generalizes the variable metric method, and its convergence is shown for a large class of convex functions. |
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