A symmetric rank-one Quasi-Newton line-search method using negative curvature directions

Öztoprak, Figen and Birbil, Ş. İlker (2010) A symmetric rank-one Quasi-Newton line-search method using negative curvature directions. (Accepted/In Press)

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We propose a quasi-Newton line-search method that uses negative curvature directions for solving unconstrained optimization problems. In this method, the symmetric rank-one (SR1) rule is used to update the Hessian approximation. The SR1 update rule is known to have a good numerical performance; however, it does not guarantee positive definiteness of the updated matrix. We first discuss the details of the proposed algorithm and then concentrate on its numerical efficiency. Our extensive computational study shows the potential of the proposed method from different angles, such as; its second order convergence behavior, its exceeding performance when compared to two other existing packages, and its computation profile illustrating the possible bottlenecks in the execution time. We then conclude the paper with the convergence analysis of the proposed method.

Item Type:Article
Uncontrolled Keywords:Quasi-Newton, SR1 update, nonconvexity, negative curvature, unconstrained
Subjects:Q Science > QA Mathematics > QA076 Computer software
ID Code:15897
Deposited By:Ş. İlker Birbil
Deposited On:07 Dec 2010 16:39
Last Modified:29 Jul 2019 12:31

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