A variational derivation of a class of BFGS-like methods

Michele Pavon

doi:10.1080/02331934.2018.1522635

A variational derivation of a class of BFGS-like methods

Michele Pavon

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

We provide a maximum entropy derivation of a new family of BFGS-like methods. Similar results are then derived for block BFGS methods. This also yields an independent proof of a result of Fletcher 1991 and its generalization to the block case.

Original language	English (US)
Pages (from-to)	2081-2089
Number of pages	9
Journal	Optimization
Volume	67
Issue number	11
DOIs	https://doi.org/10.1080/02331934.2018.1522635
State	Published - Nov 2 2018

Keywords

BFGS method
block BFGS
maximum entropy problem
Quasi-Newton method

ASJC Scopus subject areas

Control and Optimization
Management Science and Operations Research
Applied Mathematics

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10.1080/02331934.2018.1522635

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title = "A variational derivation of a class of BFGS-like methods",

abstract = "We provide a maximum entropy derivation of a new family of BFGS-like methods. Similar results are then derived for block BFGS methods. This also yields an independent proof of a result of Fletcher 1991 and its generalization to the block case.",

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A variational derivation of a class of BFGS-like methods

Abstract

Keywords

ASJC Scopus subject areas

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