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Multi-steps symmetric rank-one update for unconstrained optimization


Modarres, Farzin and Abu Hassan, Malik and Leong, Wah June (2009) Multi-steps symmetric rank-one update for unconstrained optimization. World Applied Sciences Journal, 7 (5). pp. 610-615. ISSN 1818-4952; ESSN: 1991-6426


In this paper, we present a generalized Symmetric Rank-one (SR1) method by employing interpolatory polynomials in order to possess a more accurate information from more than one previous step. The basic idea is to incorporate the SR1 update within the framework of multi-step methods. Hence iterates could be interpolated by a curve in such a way that the consecutive points define the curves. However to preserve the positive definiteness of the SR1 updates a restart procedure is applied, in which we restart the SR1 update by a scale of the identity. Comparison to multi-steps BFGS method, the proposed algorithm shows significant improvements in numerical results.

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Official URL or Download Paper: https://www.idosi.org/wasj/wasj7(5)2009.htm

Additional Metadata

Item Type: Article
Divisions: Faculty of Science
Publisher: IDOSI Publications
Keywords: Unconstrained optimization; Symmetric rank-one update; Multi-step methods; Hessian approximation
Depositing User: Najwani Amir Sariffudin
Date Deposited: 16 Oct 2013 04:55
Last Modified: 16 Jun 2020 02:14
URI: http://psasir.upm.edu.my/id/eprint/15755
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