Abstract
Making use of convex analysis a property possessed by almost all Davidon methods is exhibited. This property—although true only in the quadratic case—does not depend on the quadratic nature of the objective function. An algorithm is given which is shown to coincide with the conjugate gradient algorithm in the quadratic case. The convergence is proven when applied to uniformly convex functions. Numerical aspects are considered.
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© 1975 The Mathematical Programming Society
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Lemarechal, C. (1975). An extension of davidon methods to non differentiable problems. In: Balinski, M.L., Wolfe, P. (eds) Nondifferentiable Optimization. Mathematical Programming Studies, vol 3. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0120700
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DOI: https://doi.org/10.1007/BFb0120700
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-00763-7
Online ISBN: 978-3-642-00764-4
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