## A nonmonotone line search technique for Newton’s method.(English)Zbl 0616.65067

Newton’s method for finding the unrestricted minimum of a twice continuously differentiable function $$f$$ is considered. To ensure convergence, a line search technique must be applied. Usually this is done such that a monotonic decrease in value of $$f$$ is achieved. This – on the other hand – is known to eventually slow the rate of convergence. The authors propose a step-size rule, which may be considered as a generalization of Armijo’s rule in as much as a step is accepted if a certain improvement in function value is obtained not w.r.t. the last step but to one of the last $$M$$ steps. By this a rule is obtained which is shown to preserve the global convergence properties without enforcing monotonic decrease in function values. By a number of examples it is demonstrated that there may be some gain in computational effort compared with the usual Armijo rule.

### MSC:

 65K05 Numerical mathematical programming methods 90C30 Nonlinear programming
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