Diagonal hessian approximation for limited memory quasi-newton via variational principle

• Main Authors: Marjugi, Siti Mahani, Leong, Wah June
• Format: Article
• Language: English; English
• Published: Hindawi Publishing Corporation 2013
• Online Access: http://psasir.upm.edu.my/id/eprint/30333/1/Diagonal%20hessian%20approximation%20for%20limited%20memory%20quasi.pdf; http://psasir.upm.edu.my/id/eprint/30333/; http://www.hindawi.com/journals/jam/2013/523476/

This paper proposes some diagonal matrices that approximate the (inverse) Hessian by parts using the variational principle that is analogous to the one employed in constructing quasi-Newton updates. The way we derive our approximations is inspired by the least change secant updating approach, in whi...