Department of Applied Mathematics & Physics, Kyoto Univiversity

Technical Report #98003 (February, 1998)

A Modified BFGS Method and Its Global Convergence in Nonconvex Minimization
by Donghui Li and Masao Fukushima

In this paper, we propose a modification of the BFGS method for unconstrained optimization. A remarkable feature of the proposed method is that it possesses a global convergence property even without convexity assumption on the objective function. Under certain conditions, we also establish superlinear convergence of the method.