Metric-Based Symmetric Rank-One Updates

Authors:
B. Smith;J. L. Nazareth
Affiliations:
Department of Pure and Applied Mathematics, Washington State University, Pullman, WA;Department of Pure and Applied Mathematics, Washington State University, Pullman, WA
Venue:
Computational Optimization and Applications
Year:
1997

Citing 5
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Abstract

Metric-based SR1 updates which are stabilized by a variationalrelaxation of the quasi-Newton relation are examined. Thisinvestigation reveals an interesting and surprising connection to theorigin of quasi-Newton methods as first formulated by Davidon [1]. Anextended version of Davidon‘s original direct prediction SR1 updateis shown to be self-complementary and to possess a finite terminationproperty on quadratics, and limited-memory versions of the update areshown to be globally convergent. Variants of this update are testednumerically and compared to several other metric-based SR1 variantsand the BFGS update. Finally, metric-based stabilizations of the SR1update are critiqued in general, and a promising new model-basedstrategy recently developed is briefly described.