A new structured quasi-Newton algorithm using partial information on Hessian

作者：Amini Keyvan^*; Rizi Ashraf Ghorbani

来源：Journal of Computational and Applied Mathematics, 2010, 234(3): 805-811.

DOI：10.1016/j.cam.2010.01.044

• Modified quasi-Newton method
• Partial information on the Hessian
• Superlinear convergence
• Dennis-More condition

This paper presents a modified quasi-Newton method for structured unconstrained optimization. The usual SQN equation employs only the gradients, but ignores the available function value information. Several researchers paid attention to other secant conditions to get a better approximation of the Hessian matrix of the objective function. Recently Yabe et al. (2007) [6] proposed the modified secant condition which uses both gradient and function value information in order to get a higher-order accuracy in approximating the second curvature of the objective function. In this paper, we derive a new progressive modified SQN equation, with a vector parameter which use both available gradient and function value information, that maintains most properties of the usual and modified structured quasi-Newton methods. Furthermore, local and superlinear convergence of the algorithm is obtained under some reasonable conditions.

• 出版日期2010-6-1