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Convergence of quasi-Newton method with new inexact line search
Authors:Zhen-Jun Shi
Affiliation:a College of Operations Research and Management, Qufu Normal University, Rizhao, Shandong 276826, PR China
b Institute of Computational Mathematics and Scientific/Engineering Computing, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, PO Box 2719, Beijing 100080, PR China
Abstract:Quasi-Newton method is a well-known effective method for solving optimization problems. Since it is a line search method, which needs a line search procedure after determining a search direction at each iteration, we must decide a line search rule to choose a step size along a search direction. In this paper, we propose a new inexact line search rule for quasi-Newton method and establish some global convergent results of this method. These results are useful in designing new quasi-Newton methods. Moreover, we analyze the convergence rate of quasi-Newton method with the new line search rule.
Keywords:Unconstrained optimization   Quasi-Newton method   Inexact line search   Convergence
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