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A Switching Criterion in Hybrid Quasi-Newton BFGS - Steepest Descent Direction


Abu Hassan, Malik and Monsi, Mansor and Leong, Wah June (1999) A Switching Criterion in Hybrid Quasi-Newton BFGS - Steepest Descent Direction. Pertanika Journal of Science & Technology, 7 (2). pp. 111-123. ISSN 0128-7680


Two modified methods for unconstrained optimization are presented. The methods employ a hybrid descent direction strategy which uses a linear convex combination of quasi-Newton BFGS and steepest descent as search direction. A switching criterion is derived based on the First and Second order Kuhn-Tucker condition. The switching criterion can be viewed as a way to change between quasi-Newton and steepest descent step by matching the Kuhn-Tucker condition. This is to ensure that no potential feasible moves away from the current descent step to the other one that reduced the value of the objective function. Numerical results are also presented, which suggest that an improvement has been achieved compared with the BFGS algorithm.

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Additional Metadata

Item Type: Article
Divisions: Faculty of Environmental Studies
Publisher: Universiti Putra Malaysia Press
Keywords: Unconstrained optimization, quasi-Newton BFGS, steepest descent, Switching criteria, First and Second order Kuhn-Tucker condition
Depositing User: Nur Izzati Mohd Zaki
Date Deposited: 26 Nov 2009 04:17
Last Modified: 27 May 2013 07:08
URI: http://psasir.upm.edu.my/id/eprint/3467
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