Abstract
The convergence properties of the Davidon-Fletcher-Powell method when applied to the minimization of convex functions are considered for the case where the one-dimensional minimization required at each iteration is not solved exactly. Conditions on the error incurred at each iteration are given which are sufficient for the original method to have a linear or superlinear rate of convergence, and for the restarted version to have ann-step quadratic rate of convergence.
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Sponsored by the United States Army under Contract No. DA-31-124-ARO-D-462.
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Lenard, M.L. Practical convergence conditions for the Davidon-Fletcher-Powell method. Mathematical Programming 9, 69–86 (1975). https://doi.org/10.1007/BF01681331
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DOI: https://doi.org/10.1007/BF01681331