Abstract
We present a modified Newton method for the unconstrained minimization problem. The modification occurs in non-convex regions where the information contained in the negative eigenvalues of the Hessian is taken into account by performing a line search along a path which is initially tangent to a direction of negative curvature. We give termination criteria for the line search and prove that the resulting iterates are guaranteed to converge, under reasonable conditions, to a critical point at which the Hessian is positive semidefinite. We also show how the Bunch and Parlett decomposition of a symmetric indefinite matrix can be used to give entirely adequate directions of negative curvature.
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Work performed under the auspices of the U.S. Department of Energy.
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Moré, J.J., Sorensen, D.C. On the use of directions of negative curvature in a modified newton method. Mathematical Programming 16, 1–20 (1979). https://doi.org/10.1007/BF01582091
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DOI: https://doi.org/10.1007/BF01582091