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Mathematics of Computation
Mathematics of Computation
ISSN 1088-6842(online) ISSN 0025-5718(print)

 

Factorized variable metric methods for unconstrained optimization


Author: Donald Goldfarb
Journal: Math. Comp. 30 (1976), 796-811
MSC: Primary 65K05; Secondary 90C30
MathSciNet review: 0423804
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Abstract: Several efficient methods are given for updating the Cholesky factors of a symmetric positive definite matrix when it is modified by a rank-two correction which maintains symmetry and positive definiteness. These ideas are applied to variable metric (quasi-Newton) methods to produce numerically stable algorithms.


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Additional Information

DOI: http://dx.doi.org/10.1090/S0025-5718-1976-0423804-2
PII: S 0025-5718(1976)0423804-2
Article copyright: © Copyright 1976 American Mathematical Society