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]

Author

Michel Bierlaire

Date

Sat Mar 21 16:29:03 2015

Definition in file bfgs.m.

Function Documentation

bfgs()

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