Updating Quasi-Newton Matrices with Limited Storage
- 1 July 1980
- journal article
- Published by JSTOR in Mathematics of Computation
- Vol. 35 (151), 773-782
- https://doi.org/10.2307/2006193
Abstract
We study how to use the BFGS quasi-Newton matrices to precondition minimization methods for problems where the storage is critical. We give an update formula which generates matrices using information from the last m iterations, where m is any number supplied by the user. The quasi-Newton matrix is updated at every iteration by dropping the oldest information and replacing it by the newest information. It is shown that the matrices generated have some desirable properties.Keywords
This publication has 4 references indexed in Scilit:
- The solution of nonlinear finite element equationsInternational Journal for Numerical Methods in Engineering, 1979
- A combined conjugate-gradient quasi-Newton minimization algorithmMathematical Programming, 1978
- On sparse and symmetric matrix updating subject to a linear equationMathematics of Computation, 1977
- Quasi-Newton Methods, Motivation and TheorySiam Review, 1977