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Quasi-Newton updates with weighted secant equations

Serge Gratton(serge.gratton***at***enseeiht.f)
Vincent Malmedy(vincent.malmedy***at***gmail.com)
Philippe L. Toint(philippe.toint***at***unamur.be)

Abstract: We provide a formula for variational quasi-Newton updates with multiple weighted secant equations. The derivation of the formula leads to a Sylvester equation in the correction matrix. Examples are given.

Keywords: nonlinear optimization, quasi-Newton formulae, multisecant methods

Category 1: Nonlinear Optimization (Unconstrained Optimization )

Category 2: Nonlinear Optimization (Nonlinear Systems and Least-Squares )

Citation: Report naXys-09-2013, Namur Centre for Complex Systems, Unibersity of Namur, Namur (Belgium)

Download: [PDF]

Entry Submitted: 10/19/2013
Entry Accepted: 10/19/2013
Entry Last Modified: 10/19/2013

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