A Modification of Davidon's Minimization Method to Accept Difference Approximations of Derivatives

Authors:
G. W. Stewart, III
Affiliations:
Nuclear Division, Union Carbide Corporation, Oak Ridge, Tennessee
Venue:
Journal of the ACM (JACM)
Year:
1967

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Abstract

A modification of Davidon's method for the unconstrained minimization of a function of several variables is proposed in which the gradient vector is approximated by differences. The step sizes for the differencing are calculated from information available in the course of the minimization and are chosen to approximately balance off the effects of truncation error and cancellation error. Numerical results and comparisons with other methods are given.