The Relationships Between CG, BFGS, and Two Limited-memory Algorithms

For the solution of linear systems, the conjugate gradient (CG) and BFGS are among the most popular and successful algorithms with their respective advantages. The limited-memory methods have been developed to combine the best of the two. We describe and examine CG, BFGS, and two limited-memory methods (L-BFGS and VSCG) in the context of linear systems. We focus on the relationships between each of the four algorithms, and we present numerical results to illustrate those relationships