Local Convergence of the Symmetric Rank-One Iteration

Authors:
C. T. Kelley;E. W. Sachs
Affiliations:
North Carolina State University, Department of Mathematics and Center for Research in Scientific Computation, Box 8205, Raleigh, N.C. 27695-8205. E-mail: Tim_Kelley@ncsu.edu;Universität Trier, FB IV—Mathematik and Graduiertenkolleg Mathematische Optimierung, 54296 Trier, Germany. E-mail: sachs@uni-trier.de
Venue:
Computational Optimization and Applications
Year:
1998

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Abstract

We consider conditions under which the SR1 iteration is locallyconvergent. We apply the result to a pointwise structured SR1 methodthat has been used in optimal control.