Optimization: principles and algorithms, by Michel Bierlaire
bfgs.m File Reference

Algorithm 13.1: BFGS method with line search. More...

Go to the source code of this file.

Functions

function bfgs (in obj, in x0, in eps, in maxiter)
Applies BFGS algorithm with line search to solve where . More...

Detailed Description

Algorithm 13.1: BFGS method with line search.

Implementation of algorithm 13.1 of [1]

Date
Sat Mar 21 16:29:03 2015

Definition in file bfgs.m.

Function Documentation

 function bfgs ( in obj, in x0, in eps, in maxiter )

Applies BFGS algorithm with line search to solve where .

Note
Tested with run0508bfgs.m
Tested with runRosenbrockBfgs.m
Calls lineSearch
Parameters
 obj the name of the Octave function defining f(x) and its derivatives x0 the starting point eps algorithm stops if . maxiter maximum number of iterations (Default: 100)
Returns
[solution,iteres,niter]
solution: local minimum of the function
iteres: sequence of iterates generated by the algorithm. It contains n+2 columns. Columns 1:n contains the value of the current iterate. Column n+1 contains the value of the objective function. Column n+2 contains the value of the norm of the gradient. It contains maxiter rows, but only the first niter rows are meaningful.
niter: total number of iterations