© 1970 by British Computer Society
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A new approach to variable metric algorithms
Atomic Energy Research Establishment, Harwell, Didcot, UK
An approach to variable metric algorithms has been investigated in which the linear search sub-problem no longer becomes necessary. The property of quadratic termination has been replaced by one of monotonic convergence of the eigenvalues of the approximating matrix to the inverse hessian. A convex class of updating formulae which possess this property has been established, and a strategy has been indicated for choosing a member of the class so as to keep the approximation away from both singularity and unboundedness. A FORTRAN program has been tested extensively with encouraging results.
Received October 1969.
* Atomic Energy Research Establishment, Harwell, Didcot, Berkshire
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