Global Convergence Analysis of a New Nonmonotone BFGS Algorithm on Convex Objective Functions

Authors:
Jiye Han;Guanghui Liu
Affiliations:
Institute of Applied Mathematics, Academia Sinica, Beijing, 100080, China;Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois, U.S.A., 60208/ E-mail: guanghui@pluto.eecs.nwu.edu
Venue:
Computational Optimization and Applications
Year:
1997

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Abstract

In this paper, a new nonmonotone BFGS algorithmfor unconstrained optimization is introduced. Under mild conditions,the global convergence of this new algorithm on convex functions isproved. Some numerical experiments show that this new nonmonotoneBFGS algorithm is competitive to the BFGS algorithm.