Journal of the Korean Society for Industrial and Applied Mathematics

Korean Society for Industrial and Applied Mathematics (한국산업응용수학회)
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A SELF SCALING MULTI-STEP RANK ONE PATTERN SEARCH ALGORITHM

  • Moghrabi, Issam A.R. (Department of M.I.S., School of Business, Gulf University for Science and Technology)
  • Received : 2010.10.01
  • Accepted : 2011.11.18
  • Published : 2011.12.25
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Abstract

This paper proposes a new quickly convergent pattern search quasi-Newton algorithm that employs the multi-step version of the Symmetric Rank One (SRI). The new algorithm works on the factorizations of the inverse Hessian approximations to make available a sequence of convergent positive bases required by the pattern search process. The algorithm, in principle, resembles that developed in [1] with multi-step methods dominating the dervation and with numerical improvements incurred, as shown by the numerical results presented herein.

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References

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