Global convergence of the nonmonotone MBFGS method for nonconvex unconstrained minimization

Authors:
Weijun Zhou;Li Zhang
Affiliations:
College of Mathematics and Computational Science, Changsha University of Science and Technology, Changsha 410076, China;College of Mathematics and Computational Science, Changsha University of Science and Technology, Changsha 410076, China
Venue:
Journal of Computational and Applied Mathematics
Year:
2009

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Comments on: "A family of derivative-free conjugate gradient methods for large-scale nonlinear systems of equations" [J. Comput. Appl. Math. 224 (2009) 11-19]

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Abstract

In this paper, we propose a new nonmonotone Armijo type line search and prove that the MBFGS method proposed by Li and Fukushima with this new line search converges globally for nonconvex minimization. Some numerical experiments show that this nonmonotone MBFGS method is efficient for the given test problems.