A new secant method for unconstrained optimization

Details A new secant method for unconstrained optimization A new secant method for unconstrained optimization

2008-08-17

arxiv.org/abs/0808.2316v1

Mathematics

Optimization and Control

Scientific paper

We present a gradient-based algorithm for unconstrained minimization derived
from iterated linear change of basis. The new method is equivalent to linear
conjugate gradient in the case of a quadratic objective function. In the case
of exact line search it is a secant method. In practice, it performs comparably
to BFGS and DFP and is sometimes more robust.

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