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A few steps of the bisection method applied over the starting range [a1;b1]. The bigger red
dot is the root of the function.
BroydenFletcherGoldfarbShanno
algorithm
From Wikipedia, the free encyclopedia
Contents
1 Rationale
2 Algorithm
3 Implementations
4 See also
5 Notes
6 Bibliography
7 External links
Rationale
The search direction pk at stage k is given by the solution of the analogue of the Newton
equation
So equivalently, Uk and Vk construct a rank-two update matrix which is robust against the
scale problem often suffered in the gradient descent searching (e.g., in Broyden's method).
Algorithm
From an initial guess and an approximate Hessian matrix the following steps are
repeated as converges to the solution.
2. Perform a line search to find an acceptable stepsize in the direction found in the
first step, then update
3. Set
4.
5.
The first step of the algorithm is carried out using the inverse of the matrix , which is
usually obtained efficiently by applying the ShermanMorrison formula to the fifth line of
the algorithm, giving
This can be computed efficiently without temporary matrices, recognizing that is
symmetric, and that and are scalar, using an expansion such as