Accession Number:

ADA093060

Title:

A New Derivation of Symmetric Positive Definite Secant Updates.

Descriptive Note:

Interim technical rept.,

Corporate Author:

COLORADO UNIV AT BOULDER DEPT OF COMPUTER SCIENCE

Report Date:

1980-08-01

Pagination or Media Count:

34.0

Abstract:

In this paper, we introduce a simple new set of techiques for deriving symmetric and positive definite secant updates. We use these techniques to present a simple new derivation of the BFGS update using neither matrix inverses nor weighting matrices. A related derivation is shown to generate a large class of symmetric rank-two update formulas, together with the condition for each to preserve positive definiteness. We apply our techniques to generate a new projected BFGS update, and indicate applications to the efficient implementation of secant algorithms via the Cholsky factorization. Author

Subject Categories:

  • Theoretical Mathematics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE