Abstract
The paper compares the numerical performances of the LDL′ decomposition of the BFGS variable-metric algorithm, the Dennis-Mei dogleg algorithm on the BFGS update, and Davidon's projections with the BFGS update with the straight BFGS update on a number of standard test problems. Numerical results indicate that the standard BFGS algorithm is superior to all of the more complex strategies.
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Communicated by H. Y. Huang
This research was supported by the National Science Foundation under Research Grant No. MCS77-07327.
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Shanno, D.F., Phua, K.H. Numerical comparison of several variable-metric algorithms. J Optim Theory Appl 25, 507–518 (1978). https://doi.org/10.1007/BF00933517
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DOI: https://doi.org/10.1007/BF00933517