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.