Open AccessModified limited-memory Broyden-Fletcher-Goldfarb-Shanno algorithm for unconstrained optimization problem
Author(s) -
Muna M. Mohammed Ali
Publication year - 2021
Publication title -
indonesian journal of electrical engineering and computer science
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.241
H-Index - 17
eISSN - 2502-4760
pISSN - 2502-4752
DOI - 10.11591/ijeecs.v24.i2.pp1027-1035
Subject(s) - broyden–fletcher–goldfarb–shanno algorithm , hessian matrix , line search , convergence (economics) , algorithm , monotone polygon , convexity , quasi newton method , computer science , mathematics , mathematical optimization , optimization problem , scaling , nonlinear system , newton's method , exploit , physics , geometry , computer security , quantum mechanics , economics , financial economics , radius , economic growth
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.