BFGS method: a new search direction

Mohd. Asrul Hery Ibrahim, and Mustafa Mamat, and Leong, Wah June (2014) BFGS method: a new search direction. Sains Malaysiana, 43 (10). pp. 1591-1597. ISSN 0126-6039


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In this paper we present a new line search method known as the HBFGS method, which uses the search direction of the conjugate gradient method with the quasi-Newton updates. The Broyden-Fletcher-Goldfarb-Shanno (BFGS) update is used as approximation of the Hessian for the methods. The new algorithm is compared with the BFGS method in terms of iteration counts and CPU-time. Our numerical analysis provides strong evidence that the proposed HBFGS method is more efficient than the ordinary BFGS method. Besides, we also prove that the new algorithm is globally convergent.

Item Type:Article
Keywords:BFGS method; conjugate gradient method; globally convergent; HBFGS method
Journal:Sains Malaysiana
ID Code:7823
Deposited By: ms aida -
Deposited On:05 Nov 2014 05:43
Last Modified:14 Dec 2016 06:45

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