A test for cancellation errors in quasi-Newton methods

Authors:
Chaya Gurwitz
Affiliations:
Brooklyn College, City Univ. of New York, Brooklyn, NY
Venue:
ACM Transactions on Mathematical Software (TOMS)
Year:
1992

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Abstract

It has recently been shown that cancellation errors in a quasi-Newton method can increase without bound as the method converges. A simple test is presented to determine when cancellation errors could lead to significant contamination of the approximating matrix.