Abstract
In this paper the so-called Broyden's boundedθ-class of methods is considered. It contains as a subclass Broyden's restrictedθ-class of methods, in which the updating matrices retain symmetry and positive definiteness. These iteration methods are used for solving unconstrained minimization problems of the following form:\(f(\hat x) = \min _{x \in R^n } f(x)\) It is assumed that the step-size coefficientτ k = 1 in each iteration and the functionalf : R n → R1 satisfies the standard assumptions, viz.f is twice continuously differentiable and the Hessian matrix is uniformly positive definite and bounded (there exist constantsm, M > 0 such that m∥y∥2 ⩽ 〈y,\(m\parallel y\parallel ^2 \leqslant \left\langle {y,f(\hat x)\left. y \right\rangle } \right. \leqslant M\parallel y\parallel ^2 \) for ally ∈ R n) and satisfies a Lipschitz-like condition at the optimal point\(\hat x\), the gradient vanishes at\(\hat x\) Under these assumptions the local convergence of Broyden's methods is proved. Furthermore, the Q-superlinear convergence is shown.
Similar content being viewed by others
References
C.G. Broyden, “A new double rank minimization algorithm”,Notices of the American Mathematical Society 16 (1969) 670.
C.G. Broyden, “The convergence of single-rank quasi-Newton methods”,Mathematics of Computation 24 (1970) 365–382.
C.G. Broyden, “The convergence of a class of double-rank minimization algorithms. Parts I and II”,Journal of the Institute of Mathematics and its Applications 6 (1970) 76–90, 222–231.
C.G. Broyden, J.E. Dennis Jr. and J.J. Moré, “On the local and superlinear convergence of quasi-Newton methods”,Journal of the Institute of Mathematics and its Applications 12 (1973) 223–245.
J.E. Dennis Jr. and J.J. Moré, “Quasi-Newton methods: motivation and theory”,SIAM Review 19 (1977) 46–89.
J.E. Dennis Jr. and J.J. Moré, “A characterization of Q-superlinear convergence and its applications to quasi-Newton methods”,Mathematics of Computation 28 (1974) 549–560.
R. Fletcher, “A new approach to variable metric algorithms”,Computer Journal 13 (1970) 317–322.
D. Goldfarb, “A family of variable-metric methods derived by variational means”,Mathematics of Computation 24 (1970) 23–26.
J.M. Ortega and W.C. Rheinboldt,Iterative solution of nonlinear equations in several variables (Academic Press, New York, 1970).
E. Polak,Computational methods in optimization. A unified approach (Academic Press, New York and London, 1971).
M.J.D. Powell, “On the convergence of the variable metric algorithm”,Journal of the Institute of Mathematics and its Applications 7 (1971) 21–36.
K. Ritter, “Local and superlinear convergence of a class of variable metric methods”,Computing 23 (1979) 287–297.
D.F. Shanno, “Condition of quasi-Newton methods for function minimization”,Mathematics of Computation 24 (1970) 647–656.
J. Stoer, “On the convergence rate of imperfect minimization algorithms in Broyden'sβ-class”,Mathematical Programming 9 (1975) 313–335.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Stachurski, A. Superlinear convergence of Broyden's boundedθ-class of methods. Mathematical Programming 20, 196–212 (1981). https://doi.org/10.1007/BF01589345
Received:
Revised:
Issue Date:
DOI: https://doi.org/10.1007/BF01589345