Groupe d’études et de recherche en analyse des décisions

Computational study with Damped-Broyden methods for unconstrained optimization

Mehiddin Al-Baali Sultan Qaboos University, Oman

Recently, we have extended the damped-technique in the modified BFGS method of Powell for constrained optimization to the Broyden family of quasi-Newton methods for unconstrained optimization. Appropriate choices for the damped-parameter will be suggested, which maintain the convergence property of a restricted Broyden family of methods and enforce convergence of divergent methods. These properties will be illustrated on simple and general problems. It will be shown that the proposed damped choices improve the performance of most quasi-Newton methods substantially (or significantly) in several cases.


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