A conjugate direction implementation of the BFGS algorithm with automatic scaling
Degree GrantorUniversity of Canterbury
Degree NameResearch report
A new implementation of the BFGS algorithm for unconstrained optimization is reported which utilizes a conjugate factorization of the approximating Hessian matrix. The implementation is especially useful when gradient information is estimated by finite difference formulae and it is well suited to machines which are able to exploit parallel processing.
SubjectsField of Research::01 - Mathematical Sciences::0101 - Pure Mathematics::010101 - Algebra and Number Theory
- Engineering: Reports