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A modified BFGS method and its global convergence in nonconvex minimization. (English) Zbl 0984.65055
A modification of the BFGS method for unconstrained optimization is proposed. The authors study the following unconstrained optimization problem: \(\min f(x)\), \(x\in\mathbb{R}^n\), where \(f: \mathbb{R}^n\to \mathbb{R}\) is continuously differentiable function. The objective function \(f\) has Lischitz continuous gradients.
Main result: The authors show (the precise proofs are given) a global convergence property even without convexity assumption on the objective function. Under certain conditions superlinear convergence of the proposed method is presented.

MSC:
65K05 Numerical mathematical programming methods
90C26 Nonconvex programming, global optimization
Software:
ve08
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References:
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