A conjugate direction implementation of the BFGS algorithm with automatic scaling

Coope, Ian D.2015-08-192015-08-191987http://hdl.handle.net/10092/10796A 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.enCopyright Ian D. CoopeA conjugate direction implementation of the BFGS algorithm with automatic scalingFields of Research::49 - Mathematical sciences::4904 - Pure mathematics::490401 - Algebra and number theory