bfgs: Broyden Fletcher Goldfarb Shanno update method.

In brunasqz/NonlinearOpMethods: Nonlinear Optimization Methods

Description

bfgs is an update scheme to get a new Hessian inverse approximation in a Quasi-Newton method.

Usage

bfgs(x.list, xnew.list, H)

Arguments

x.list	A list with the current solution
xnew.list	A list with the new solution in the same iteration
H	Current Hessian inverse approximation

References

1. Wikipedia, Quasi-newton method https://en.wikipedia.org/wiki/Quasi-Newton_method.

2. Ramirez, Jaime A.; Campelo, Felipe; Guimaraes, Frederico G.; Batista, Lucas S.; Takahashi, Ricardo H. C.; Notas de aula de Otimizacao, pages 26:28.

See Also

The documentation of the Quasi-newton method quasiNewton in this package.

brunasqz/NonlinearOpMethods documentation built on Oct. 27, 2019, 5:46 a.m.