Optimal Conditioning in the Convex Class of Rank Two Updates
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Author
Schnabel, Robert B.
Abstract
Davidson's new quasi-Newton optimization algorithm selects the new inverse Hessian approximation H at each step to be the "optimally conditioned" member of a certain one-parameter class of rank two updates to the last inverse Hessian approximation H. In this paper, we show that virtually the same goals of conditioning can be achieved while restricting H to the convex class of updates. We therefore suggest that Davidson's algorithms using optimal conditioning, restrict the choice of H to members of the convex class.
Date Issued
1976-08
Publisher
Cornell University
Keywords
Previously Published as
http://techreports.library.cornell.edu:8081/Dienst/UI/1.0/Display/cul.cs/TR76-288
Type
technical report