Factorized Variable Metric Methods for Unconstrained Optimization
- 1 October 1976
- journal article
- Published by JSTOR in Mathematics of Computation
- Vol. 30 (136) , 796-811
- https://doi.org/10.2307/2005399
Abstract
Several efficient methods are given for updating the Cholesky factors of a symmetric positive definite matrix when it is modified by a rank-two correction which maintains symmetry and positive definiteness. These ideas are applied to variable metric (quasi-Newton) methods to produce numerically stable algorithms.Keywords
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