A conjugate direction implementation of the BFGS algorithm with automatic scaling
Coope, Ian D.; Coope Ian D.; University of Canterbury
Журнал:
The Journal of the Australian Mathematical Society. Series B. Applied Mathematics
Дата:
1989
Аннотация:
AbstractA new implementation of the BFGS algorithm for unconstrained optimisation is reported which utilises a conjugate factorisation of the approximating Hessian matrix. The implementation is especially useful when gradient information is estimated by finite difference formulae and it is well suited to machines which are able to exploit parallel processing.
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