Journal of East China Normal University(Natural Sc ›› 2010, Vol. 2010 ›› Issue (1): 34-38.

• Article • Previous Articles     Next Articles

New modified limited memory quasi-Newton method (Chinese)

LU Hui-fang1,YANG Yue-ting2   

  1. 1. Department of Applied Mathematics, Shanghai University of Finance and Economics,Shanghai 200433, China; 2. Faculty of Malthematics, Beihua University, Jilin Jilin 132013, China
  • Received:2009-02-17 Revised:2009-05-09 Online:2010-01-25 Published:2010-01-25
  • Contact: LU Hui-fang

Abstract: Based on modified quasi-Newton equation, a new limited memory quasi-Newton method with two-loop recursion was proposed. Comparing to the classical limited memory BFGS method, the new method uses more function value and gradient informations to construct the quasi-Newton update mectrix, and does not need more computational efforts. The theory analysis and numerical results show the efficiency of the proposed method.

Key words: limited memory method, large scale optimization, modified quasi-Newton equation, limited memory method, large scale optimization

CLC Number: