Articulo
A curvilinear search using tridiagonal secant updates for unconstrained optimization
Autor
Dennis Jr., J.E.
Echebest, Nélida Ester
Guardarucci, María Teresa
Martínez, J. M.
Scolnik, Hugo Daniel
Vacchino, María Cristina
Institución
Resumen
The idea of doing a curvilinear search along the Levenberg- Marquardt path s(μ) = - (H + μI)⁻¹g always has been appealing, but the cost of solving a linear system for each trial value of the parameter y has discouraged its implementation. In this paper, an algorithm for searching along a path which includes s(μ) is studied. The algorithm uses a special inexpensive QTcQT to QT₊QT Hessian update which trivializes the linear algebra required to compute s(μ). This update is based on earlier work of Dennis-Marwil and Martinez on least-change secant updates of matrix factors. The new algorithm is shown to be local and q-superlinearily convergent to stationary points, and to be globally q-superlinearily convergent for quasi-convex functions. Computational tests are given that show the new algorithm to be robust and efficient. Facultad de Ciencias Exactas