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http://dx.doi.org/10.12941/jksiam.2011.15.4.267

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)
Publication Information
Journal of the Korean Society for Industrial and Applied Mathematics / v.15, no.4, 2011 , pp. 267-275 More about this Journal
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.
Keywords
quasi-Newton methods; Pattern Search algorithms; multi-step methods;
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