利用分解校正矩阵确定搜索方向的BFGS算法

BFGS ALGORITHM BY USING THE DECOMPOSITION MATRIX OF THE CORRECTION MATRIX TO OBTAIN THE SEARCH DIRECTION

本文把正定矩阵关于向量的等内积分解算法应用于改进BFGS算法中搜索方向的计算.通过建立不依赖于搜索方式的用分解矩阵表达的校正公式,给出了用Hesse近似矩阵的等内积分解矩阵确定搜索方向的BFGS算法.

In this paper,the equal inner product decomposition algorithm of positive definite matrix is applied to improve the search direction calculation in BFGS algorithm.By setting up the correction matrixes of both independent search mode and decomposition matrixes expression,BFGS algorithm is put forward,in which search directions are obtained by using equal inner product decomposition matrixes of the Hesse approximate matrixes.