Updating Quasi-Newton Matrices With Limited Storage

@inproceedings{Nocedal1980UpdatingQM,
  title={Updating Quasi-Newton Matrices With Limited Storage},
  author={Jorge Nocedal},
  year={1980}
}
We study how to use the BFGS quasi-Newton matrices to precondition minimization methods for problems where the storage is critical. We give an update formula which generates matrices using information from the last m iterations, where m is any number supplied by the user. The quasi-Newton matrix is updated at every iteration by dropping the oldest information and replacing it by the newest informa- tion. It is shown that the matrices generated have some desirable properties. The resulting… CONTINUE READING

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