Relationship between the BFGS and conjugate gradient algorithms and its implications for new algorithms
Journal Article
·
· SIAM J. Numer. Anal.; (United States)
On the basis of analysis and numerical experience, the BFGS (Broyden-Fletcher-Goldfarb-Shanno) algorithm is currently considered to be one of the most effective algorithms for finding a minimum of an unconstrained function, f(x), x an element of R/sup n/. However, when computer storage is at a premium, the usual alternative is to use a conjugate gradient (CG) method. It is shown here that the two algorithms are related to one another in a particularly close way. Based upon these observations, a new family of algorithms is proposed. 2 tables.
- Research Organization:
- Argonne National Lab., IL
- OSTI ID:
- 5401317
- Journal Information:
- SIAM J. Numer. Anal.; (United States), Vol. 16:5
- Country of Publication:
- United States
- Language:
- English
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