Title of article :
BFGS Method: A New Search Direction
Author/Authors :
BIN IBRAHIM, MOHD. ASRUL HERY Universiti Malaysia Kelantan - Fakulti Keusahawanan dan Perniagaan, Malaysia , MAMAT, MUSTAFA Universiti Sultan Zainal Abidin - Fakulti Informatik dan Komputeran, Malaysia , JUNE, LEONG WAH Universiti Putra Malaysia - Fakulti Sains - Jabatan Matematik, Malaysia
Abstract :
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.
Keywords :
BFGS method , conjugate gradient method , globally convergent , HBFGS method
