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A survey of quasi-Newton equations and quasi-Newton methods for optimization. (English) Zbl 1007.90069
Summary: Quasi-Newton equations play a central role in quasi-Newton methods for optimization and various quasi-Newton equations are available. This paper gives a survey on these quasi-Newton equations and studies properties of quasi-Newton methods with updates satisfying different quasi-Newton equations. These include single-step quasi-Newton equations that use only gradient information and that use both gradient and function value information in one step, and multi-step quasi-Newton equations that use the gradient information in last m steps. Main properties of quasi-Newton methods with updates satisfying different quasi-Newton equations are studied. These properties include the finite termination property, invariance, heredity of positive definite updates, consistency of search directions, global convergence and local superlinear convergence properties.
MSC:
90C30Nonlinear programming
90C53Methods of quasi-Newton type