Modified limited-memory Broyden-Fletcher-Goldfarb-Shanno algorithm for unconstrained optimization problem

Muna M. M. Ali

Abstract


The use of the self-scaling Broyden-Fletcher-Goldfarb-Shanno (BFGS) method is very efficient for the resolution of large-scale optimization problems, in this paper, we present a new algorithm and modified the self-scaling BFGS algorithm. Also, based on noticeable non-monotone line search properties, we discovered and employed a new non-monotone idea. Thereafter first, an updated formula is exhorted to the convergent Hessian matrix and we have achieved the secant condition, second, we established the global convergence properties of the algorithm under some mild conditions and the objective function is not convexity hypothesis. A promising behavior is achieved and the numerical results are also reported of the new algorithm.

Keywords


BFGS algorithm global convergence property; Nonmonotone line search; Self-scaling; Unconstrained optimization;

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DOI: http://doi.org/10.11591/ijeecs.v24.i2.pp1027-1035

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