On the Convergence of the Variable Metric Algorithm

The variable metric algorithm is a frequently used method forcalculating the least value of a function of several variables.However it has been proved only that the method is successfulif the objective function is quadratic, although in practiceit treats many types of objective functions successfully. Thispaper extends the theory, for it proves that successful convergenceis obtained provided that the objective function has a strictlypositive definite second derivative matrix for all values ofits variables. Moreover it is shown that the rate of convergenceis super-linear.