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Mathematics of Computation

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An explicit quasi-Newton update for sparse optimization calculations

Author: Angelo Lucia
Journal: Math. Comp. 40 (1983), 317-322
MSC: Primary 65K05
MathSciNet review: 679448
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Abstract: A new quasi-Newton updating formula for sparse optimization calculations is presented. It makes combined use of a simple strategy for fixing symmetry and a Schubert correction to the upper triangle of a permuted Hessian approximation. Interesting properties of this new update are that it is closed form and that it does not satisfy the secant condition at every iteration of the calculations. Some numerical results are given that show that this update compares favorably with the sparse PSB update and appears to have a superlinear rate of convergence.

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Article copyright: © Copyright 1983 American Mathematical Society