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BFGS with Update Skipping and Varying Memory

By Tamara Gibson, Dianne P. O'Leary and Larry Nazareth

Abstract

We give conditions under which limited-memory quasi-Newton methods with exact line searches will terminate in $n$ steps when minimizing $n$-dimensional quadratic functions. We show that although all Broyden family methods terminate in $n$ steps in their full-memory versions, only BFGS does so with limited-memory. Additionally, we show that full-memory Broyden family methods with exact line searches terminate in at most $n+p$ steps when $p$ matrix updates are skipped. We introduce new limited-memory BFGS variants and test them on nonquadratic minimization problems. (Also cross-referenced as UMIACS-TR-96-49

Year: 1998
OAI identifier: oai:drum.lib.umd.edu:1903/831
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