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A conjugate direction implementation of the BFGS algorithm with automatic scaling
Published online by Cambridge University Press: 17 February 2009
Abstract
A new implementation of the BFGS algorithm for unconstrained optimisation is reported which utilises a conjugate factorisation of the approximating Hessian matrix. The implementation is especially useful when gradient information is estimated by finite difference formulae and it is well suited to machines which are able to exploit parallel processing.
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- Research Article
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- Copyright © Australian Mathematical Society 1989
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