The CG-BFGS method for unconstrained optimization problems

Ibrahim, M.A.H.B and Mamat, Mustafa and June, L.W and Sofi, A.Z.M (2014) The CG-BFGS method for unconstrained optimization problems. AIP Conference Proceedings, 1605. pp. 167-172. ISSN 0094-243X

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t In this paper we present a new search direction known as the CG-BFGS method, which uses the search direction of the conjugate gradient method approach in the quasi-Newton methods. The new algorithm is compared with the quasi-Newton methods in terms of the number of iterations and CPU-time. The Broyden-Fletcher-Goldfarb-Shanno (BFGS) method is used as an updating formula for the approximation of the Hessian for both methods. Our numerical analysis provides strong evidence that our CG-BFGS method is more efficient than the ordinary BFGS method. Besides, we also prove that the new algorithm is globally convergent.

Item Type: Article
Subjects: Q Science > QA Mathematics
Faculty / Institute: Faculty of Informatics & Computing
Depositing User: Prof Mustafa Mamat
Date Deposited: 17 Aug 2015 02:45
Last Modified: 17 Aug 2015 02:45

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