Improved Hessian approximation with modified quasi-Cauchy relation for a gradient-type method
In this work we develop a new gradient-type method with improved Hessian approximation for unconstrained optimization problems. The new method resembles the Barzilai-Borwein (BB) method, except that the Hessian matrix is approximated by a diagonal matrix rather than the multiple of the identity mat...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
ICI Publishing House
2010
|
| Online Access: | http://psasir.upm.edu.my/id/eprint/17711/1/Improved_Hessian_Approximation_with_Modified_Quasi-_Cauchy_Relation_for_a_Gradient-type_Method.pdf http://psasir.upm.edu.my/id/eprint/17711/ https://camo.ici.ro/journal/v12n1.htm |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | In this work we develop a new gradient-type method with improved Hessian approximation for unconstrained optimization problems. The new method resembles the Barzilai-Borwein (BB) method, except that the Hessian matrix is approximated by a diagonal matrix rather than the
multiple of the identity matrix in the BB method. Then the diagonal Hessian approximation is derived based on the quasi-Cauchy relation. To further improve the Hessian approximation, we modify the quasi-Cauchy relation to carry some additional information from the values and gradients of the objective function. Numerical experiments show that the proposed method yields desirable improvement. |
|---|