BFGS Method for Linear Programming
BFGS Method for Linear Programming
摘要
In this paper we propose an algorithm based on the BFGS Quasi-Newton method to solve a linear program. The choice of this method is justified by its theoretical efficiency, the ease to determine a descent direction and its fast convergence towards an optimal solution. Our proposed method is compared with Newton＇s method for linear program named lpnew, widely used as an optimization algorithm for classification problems.
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