Numerical Experience with DampedQuasi-Newton Optimization Methodswhen the Objective Function is Quadratic

Sultan Qaboos University Journal for Science

Anton Purnama¹  Mehiddin Al-Baali¹ 

[1] Department of Mathematics and Statistics, Sultan Qaboos University, Muscat, Oman;

关键词: Nonlinear optimization, Quasi-Newton methods, Damped-technique, Line search framework.;   

DOI  :  10.24200/squjs.vol17iss1pp1-11

来源: DOAJ

【 摘 要 】

A class of damped quasi-Newton methods for nonlinear optimization has recently been proposed by extending the damped-technique of Powell for the BFGS method to the Broyden family of quasi-Newton methods. It has been shown that this damped class has the global and superlinear convergence property that a restricted class of 'undamped' methods has for convex objective functions in unconstrained optimization. To test this result, we applied several members of the Broyden family and their corresponding damped methods to a simple quadratic function and observed several useful features of the damped-technique. These observations and other numerical experiences are described in this paper. The important role of the damped-technique is shown not only for enforcing the above convergence property, but also for improving the performance of efficient, inefficient and divergent undamped methods substantially (significantly in the latter case). Thus, some appropriate ways for employing the damped-technique are suggested.

【 授权许可】

Unknown