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Davidon–Fletcher–Powell formula

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1742: 1105: 649: 303: 412: 748: 816: 909: 1261: 1639: 1306: 1267: 473: 901: 143: 1510: 1159: 105: 1634: 846: 465: 78: 1179: 1127: 435: 131: 2230: 2128: 1503: 1414: 36:) finds the solution to the secant equation that is closest to the current estimate and satisfies the curvature condition. It was the first 318: 2209: 1671: 1723: 1584: 1296: 1691: 1479: 1460: 1441: 1350: 660: 1802: 1496: 1100:{\displaystyle H_{k+1}=H_{k}-{\frac {H_{k}y_{k}y_{k}^{T}H_{k}}{y_{k}^{T}H_{k}y_{k}}}+{\frac {s_{k}s_{k}^{T}}{y_{k}^{T}s_{k}}}.} 754: 2079: 1741: 29: 2187: 1807: 1187: 2123: 2091: 2172: 1797: 440:
The DFP formula finds a solution that is symmetric, positive-definite and closest to the current approximate value of
2118: 2074: 1676: 1967: 1696: 1857: 644:{\displaystyle B_{k+1}=(I-\gamma _{k}y_{k}s_{k}^{T})B_{k}(I-\gamma _{k}s_{k}y_{k}^{T})+\gamma _{k}y_{k}y_{k}^{T},} 1519: 2042: 849: 108: 1904: 2086: 1985: 1701: 1579: 1321: 2177: 2162: 2052: 1930: 1556: 1523: 2066: 2032: 1935: 1877: 1758: 1564: 1544: 1271: 298:{\displaystyle f(x_{k}+s_{k})=f(x_{k})+\nabla f(x_{k})^{T}s_{k}+{\frac {1}{2}}s_{k}^{T}{B}s_{k}+\dots ,} 858: 2113: 1940: 1852: 33: 1488: 2182: 2047: 2000: 1990: 1842: 1830: 1643: 1626: 1531: 1311: 1301: 44:
to a multidimensional problem. This update maintains the symmetry and positive definiteness of the
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The DFP formula is quite effective, but it was soon superseded by the
1383: 407:{\displaystyle \nabla f(x_{k}+s_{k})=\nabla f(x_{k})+Bs_{k}+\dots } 2149: 1965: 1828: 1756: 1542: 1492: 855:
The corresponding update to the inverse Hessian approximation
1740: 743:{\displaystyle y_{k}=\nabla f(x_{k}+s_{k})-\nabla f(x_{k}),} 811:{\displaystyle \gamma _{k}={\frac {1}{y_{k}^{T}s_{k}}},} 1190: 1167: 1135: 1115: 912: 861: 827: 757: 663: 476: 446: 423: 321: 146: 119: 90: 57: 1256:{\displaystyle s_{k}^{T}y_{k}=s_{k}^{T}Bs_{k}>0.} 1129:
is assumed to be positive-definite, and the vectors
2104: 2065: 2031: 2020: 1978: 1913: 1885: 1871: 1841: 1790: 1769: 1714: 1662: 1625: 1602: 1593: 1555: 1474:. London: John Wiley & Sons. pp. 110–120. 1425: 1402: 1255: 1173: 1153: 1121: 1099: 895: 840: 810: 742: 643: 459: 429: 406: 297: 125: 99: 72: 1409:(2nd ed.). New York: John Wiley & Sons. 1428:Methods for Unconstrained Optimization Problems 1307:Broyden–Fletcher–Goldfarb–Shanno (BFGS) method 1504: 8: 1376:AEC Research and Development Report ANL-5990 1451:Nocedal, Jorge; Wright, Stephen J. (1999). 1343:Nonlinear Programming: Analysis and Methods 2146: 2062: 2028: 1975: 1962: 1882: 1838: 1825: 1766: 1753: 1599: 1552: 1539: 1511: 1497: 1489: 1391: 1372:"Variable Metric Method for Minimization" 1241: 1228: 1223: 1210: 1200: 1195: 1189: 1166: 1145: 1140: 1134: 1114: 1085: 1075: 1070: 1058: 1053: 1043: 1036: 1024: 1014: 1004: 999: 987: 977: 972: 962: 952: 945: 936: 917: 911: 884: 879: 866: 860: 832: 826: 796: 786: 781: 771: 762: 756: 728: 703: 690: 668: 662: 632: 627: 617: 607: 591: 586: 576: 566: 547: 534: 529: 519: 509: 481: 475: 451: 445: 422: 392: 373: 348: 335: 320: 312:of the gradient itself (secant equation) 280: 271: 265: 260: 246: 237: 227: 217: 192: 170: 157: 145: 118: 89: 56: 1745:Optimization computes maxima and minima. 1268:Broyden–Fletcher–Goldfarb–Shanno formula 1333: 1941:Principal pivoting algorithm of Lemke 1181:must satisfy the curvature condition 7: 1424:Kowalik, J.; Osborne, M. R. (1968). 2231:Optimization algorithms and methods 1345:. Prentice-Hall. pp. 352–353. 1585:Successive parabolic interpolation 715: 677: 360: 322: 204: 91: 14: 1905:Projective algorithm of Karmarkar 1405:Practical methods of optimization 1900:Ellipsoid algorithm of Khachiyan 1803:Sequential quadratic programming 1640:Broyden–Fletcher–Goldfarb–Shanno 896:{\displaystyle H_{k}=B_{k}^{-1}} 1432:. New York: Elsevier. pp.  1297:Newton's method in optimization 18:Davidon–Fletcher–Powell formula 1858:Reduced gradient (Frank–Wolfe) 734: 721: 709: 683: 597: 553: 540: 496: 379: 366: 354: 328: 224: 210: 198: 185: 176: 150: 67: 61: 1: 2188:Spiral optimization algorithm 1808:Successive linear programming 1926:Simplex algorithm of Dantzig 1798:Augmented Lagrangian methods 1274:(interchanging the roles of 2247: 1317:Symmetric rank-one formula 1312:Limited-memory BFGS method 2205: 2158: 2145: 2129:Push–relabel maximum flow 1974: 1961: 1931:Revised simplex algorithm 1837: 1824: 1765: 1752: 1738: 1551: 1538: 1341:Avriel, Mordecai (1976). 1154:{\displaystyle s_{k}^{T}} 1654:Symmetric rank-one (SR1) 1635:Berndt–Hall–Hall–Hausman 1401:Fletcher, Roger (1987). 850:positive-definite matrix 100:{\displaystyle \nabla f} 2178:Parallel metaheuristics 1986:Approximation algorithm 1697:Powell's dog leg method 1649:Davidon–Fletcher–Powell 1545:Unconstrained nonlinear 1472:Methods of Optimization 1393:2027/mdp.39015078508226 1370:Davidon, W. C. (1959). 2163:Evolutionary algorithm 1746: 1453:Numerical Optimization 1257: 1175: 1155: 1123: 1101: 897: 842: 812: 744: 645: 461: 431: 408: 299: 127: 101: 74: 1936:Criss-cross algorithm 1759:Constrained nonlinear 1744: 1565:Golden-section search 1470:Walsh, G. R. (1975). 1258: 1176: 1156: 1124: 1102: 898: 843: 841:{\displaystyle B_{k}} 813: 745: 646: 462: 460:{\displaystyle B_{k}} 432: 409: 300: 128: 102: 75: 1853:Cutting-plane method 1188: 1165: 1133: 1113: 910: 859: 825: 755: 661: 474: 444: 421: 319: 144: 117: 88: 73:{\displaystyle f(x)} 55: 34:Michael J. D. Powell 2183:Simulated annealing 2001:Integer programming 1991:Dynamic programming 1831:Convex optimization 1692:Levenberg–Marquardt 1455:. Springer-Verlag. 1302:Quasi-Newton method 1233: 1205: 1150: 1080: 1063: 1009: 982: 892: 848:is a symmetric and 791: 637: 596: 539: 270: 38:quasi-Newton method 1863:Subgradient method 1747: 1672:Conjugate gradient 1580:Nelder–Mead method 1322:Nelder–Mead method 1253: 1219: 1191: 1171: 1151: 1136: 1119: 1097: 1066: 1049: 995: 968: 893: 875: 838: 808: 777: 740: 641: 623: 582: 525: 457: 427: 417:is used to update 404: 295: 256: 123: 97: 70: 40:to generalize the 26:William C. Davidon 2218: 2217: 2201: 2200: 2141: 2140: 2137: 2136: 2100: 2099: 2061: 2060: 1957: 1956: 1953: 1952: 1949: 1948: 1820: 1819: 1816: 1815: 1736: 1735: 1732: 1731: 1710: 1709: 1416:978-0-471-91547-8 1174:{\displaystyle y} 1122:{\displaystyle B} 1092: 1031: 803: 430:{\displaystyle B} 254: 126:{\displaystyle B} 109:positive-definite 51:Given a function 2238: 2147: 2063: 2029: 2006:Branch and bound 1996:Greedy algorithm 1976: 1963: 1883: 1839: 1826: 1767: 1754: 1702:Truncated Newton 1617:Wolfe conditions 1600: 1553: 1540: 1513: 1506: 1499: 1490: 1485: 1466: 1447: 1431: 1420: 1408: 1397: 1395: 1357: 1356: 1338: 1262: 1260: 1259: 1254: 1246: 1245: 1232: 1227: 1215: 1214: 1204: 1199: 1180: 1178: 1177: 1172: 1160: 1158: 1157: 1152: 1149: 1144: 1128: 1126: 1125: 1120: 1106: 1104: 1103: 1098: 1093: 1091: 1090: 1089: 1079: 1074: 1064: 1062: 1057: 1048: 1047: 1037: 1032: 1030: 1029: 1028: 1019: 1018: 1008: 1003: 993: 992: 991: 981: 976: 967: 966: 957: 956: 946: 941: 940: 928: 927: 902: 900: 899: 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1364:Further reading 1361: 1360: 1353: 1340: 1339: 1335: 1330: 1292:Newton's method 1288: 1270:, which is its 1237: 1206: 1186: 1185: 1163: 1162: 1131: 1130: 1111: 1110: 1081: 1065: 1039: 1038: 1020: 1010: 994: 983: 958: 948: 947: 932: 913: 908: 907: 862: 857: 856: 828: 823: 822: 792: 776: 758: 753: 752: 724: 699: 686: 664: 659: 658: 613: 603: 572: 562: 543: 515: 505: 477: 472: 471: 447: 442: 441: 419: 418: 388: 369: 344: 331: 317: 316: 276: 233: 223: 213: 188: 166: 153: 142: 141: 115: 114: 86: 85: 53: 52: 12: 11: 5: 2244: 2242: 2234: 2233: 2223: 2222: 2216: 2215: 2213: 2212: 2206: 2203: 2202: 2199: 2198: 2196: 2195: 2190: 2185: 2180: 2175: 2170: 2165: 2159: 2156: 2155: 2152:Metaheuristics 2150: 2143: 2142: 2139: 2138: 2135: 2134: 2132: 2131: 2126: 2124:Ford–Fulkerson 2121: 2116: 2110: 2108: 2102: 2101: 2098: 2097: 2095: 2094: 2092:Floyd–Warshall 2089: 2084: 2083: 2082: 2071: 2069: 2059: 2058: 2056: 2055: 2050: 2045: 2039: 2037: 2026: 2018: 2017: 2015: 2014: 2013: 2012: 1998: 1993: 1988: 1982: 1980: 1972: 1971: 1966: 1959: 1958: 1955: 1954: 1951: 1950: 1947: 1946: 1944: 1943: 1938: 1933: 1928: 1922: 1920: 1911: 1910: 1908: 1907: 1902: 1897: 1895:Affine scaling 1891: 1889: 1887:Interior point 1880: 1869: 1868: 1866: 1865: 1860: 1855: 1849: 1847: 1835: 1834: 1829: 1822: 1821: 1818: 1817: 1814: 1813: 1811: 1810: 1805: 1800: 1794: 1792: 1791:Differentiable 1788: 1787: 1785: 1784: 1779: 1773: 1771: 1763: 1762: 1757: 1750: 1749: 1739: 1737: 1734: 1733: 1730: 1729: 1727: 1726: 1720: 1718: 1712: 1711: 1708: 1707: 1705: 1704: 1699: 1694: 1689: 1684: 1679: 1674: 1668: 1666: 1660: 1659: 1657: 1656: 1651: 1646: 1637: 1631: 1629: 1623: 1622: 1620: 1619: 1614: 1608: 1606: 1597: 1591: 1590: 1588: 1587: 1582: 1577: 1572: 1567: 1561: 1559: 1549: 1548: 1543: 1536: 1535: 1518: 1516: 1515: 1508: 1501: 1493: 1487: 1486: 1480: 1467: 1461: 1448: 1442: 1421: 1415: 1398: 1365: 1362: 1359: 1358: 1351: 1332: 1331: 1329: 1326: 1325: 1324: 1319: 1314: 1309: 1304: 1299: 1294: 1287: 1284: 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200: 195: 191: 187: 184: 181: 178: 173: 169: 165: 160: 156: 152: 149: 122: 112:Hessian matrix 96: 93: 69: 66: 63: 60: 46:Hessian matrix 30:Roger Fletcher 24:; named after 13: 10: 9: 6: 4: 3: 2: 2243: 2232: 2229: 2228: 2226: 2211: 2208: 2207: 2204: 2194: 2191: 2189: 2186: 2184: 2181: 2179: 2176: 2174: 2171: 2169: 2168:Hill climbing 2166: 2164: 2161: 2160: 2157: 2153: 2148: 2144: 2130: 2127: 2125: 2122: 2120: 2117: 2115: 2112: 2111: 2109: 2107: 2106:Network flows 2103: 2093: 2090: 2088: 2085: 2081: 2078: 2077: 2076: 2073: 2072: 2070: 2068: 2067:Shortest path 2064: 2054: 2051: 2049: 2046: 2044: 2041: 2040: 2038: 2036: 2035:spanning tree 2030: 2027: 2025: 2019: 2011: 2007: 2004: 2003: 2002: 1999: 1997: 1994: 1992: 1989: 1987: 1984: 1983: 1981: 1977: 1973: 1969: 1968:Combinatorial 1964: 1960: 1942: 1939: 1937: 1934: 1932: 1929: 1927: 1924: 1923: 1921: 1919: 1916: 1912: 1906: 1903: 1901: 1898: 1896: 1893: 1892: 1890: 1888: 1884: 1881: 1879: 1874: 1870: 1864: 1861: 1859: 1856: 1854: 1851: 1850: 1848: 1846: 1840: 1836: 1832: 1827: 1823: 1809: 1806: 1804: 1801: 1799: 1796: 1795: 1793: 1789: 1783: 1780: 1778: 1775: 1774: 1772: 1768: 1764: 1760: 1755: 1751: 1743: 1725: 1722: 1721: 1719: 1717: 1713: 1703: 1700: 1698: 1695: 1693: 1690: 1688: 1685: 1683: 1680: 1678: 1675: 1673: 1670: 1669: 1667: 1665: 1664:Other methods 1661: 1655: 1652: 1650: 1647: 1645: 1641: 1638: 1636: 1633: 1632: 1630: 1628: 1624: 1618: 1615: 1613: 1610: 1609: 1607: 1605: 1601: 1598: 1596: 1592: 1586: 1583: 1581: 1578: 1576: 1573: 1571: 1568: 1566: 1563: 1562: 1560: 1558: 1554: 1550: 1546: 1541: 1537: 1533: 1529: 1525: 1521: 1514: 1509: 1507: 1502: 1500: 1495: 1494: 1491: 1483: 1481:0-471-91922-5 1477: 1473: 1468: 1464: 1462:0-387-98793-2 1458: 1454: 1449: 1445: 1443:0-444-00041-0 1439: 1435: 1430: 1429: 1422: 1418: 1412: 1407: 1406: 1399: 1394: 1389: 1385: 1381: 1377: 1373: 1368: 1367: 1363: 1354: 1352:0-13-623603-0 1348: 1344: 1337: 1334: 1327: 1323: 1320: 1318: 1315: 1313: 1310: 1308: 1305: 1303: 1300: 1298: 1295: 1293: 1290: 1289: 1285: 1283: 1281: 1277: 1273: 1269: 1250: 1247: 1242: 1238: 1234: 1229: 1224: 1220: 1216: 1211: 1207: 1201: 1196: 1192: 1184: 1183: 1182: 1168: 1146: 1141: 1137: 1116: 1094: 1086: 1082: 1076: 1071: 1067: 1059: 1054: 1050: 1044: 1040: 1033: 1025: 1021: 1015: 1011: 1005: 1000: 996: 988: 984: 978: 973: 969: 963: 959: 953: 949: 942: 937: 933: 929: 924: 921: 918: 914: 906: 905: 904: 888: 885: 880: 876: 872: 867: 863: 853: 851: 833: 829: 805: 797: 793: 787: 782: 778: 773: 768: 763: 759: 751: 737: 729: 725: 718: 712: 704: 700: 696: 691: 687: 680: 674: 669: 665: 657: 656: 655: 638: 633: 628: 624: 618: 614: 608: 604: 600: 592: 587: 583: 577: 573: 567: 563: 559: 556: 548: 544: 535: 530: 526: 520: 516: 510: 506: 502: 499: 493: 488: 485: 482: 478: 470: 469: 468: 452: 448: 438: 424: 401: 398: 393: 389: 385: 382: 374: 370: 363: 357: 349: 345: 341: 336: 332: 325: 315: 314: 313: 311: 310:Taylor series 292: 289: 286: 281: 277: 272: 266: 261: 257: 251: 248: 243: 238: 234: 228: 218: 214: 207: 201: 193: 189: 182: 179: 171: 167: 163: 158: 154: 147: 140: 139: 138: 136: 135:Taylor series 120: 113: 110: 94: 83: 64: 58: 49: 47: 43: 42:secant method 39: 35: 31: 27: 23: 19: 2173:Local search 2119:Edmonds–Karp 2075:Bellman–Ford 1845:minimization 1677:Gauss–Newton 1648: 1627:Quasi–Newton 1612:Trust region 1520:Optimization 1471: 1452: 1427: 1404: 1375: 1342: 1336: 1279: 1275: 1265: 1109: 903:is given by 854: 820: 653: 439: 416: 307: 50: 21: 17: 15: 2193:Tabu search 1604:Convergence 1575:Line search 2024:algorithms 1532:heuristics 1524:Algorithms 1328:References 1979:Paradigms 1878:quadratic 1595:Gradients 1557:Functions 943:− 886:− 760:γ 716:∇ 713:− 678:∇ 605:γ 564:γ 560:− 507:γ 503:− 402:… 361:∇ 323:∇ 290:… 205:∇ 92:∇ 2225:Category 2210:Software 2087:Dijkstra 1918:exchange 1716:Hessians 1682:Gradient 1286:See also 308:and the 82:gradient 2053:Kruskal 2043:Borůvka 2033:Minimum 1770:General 1528:methods 107:), and 1915:Basis- 1873:Linear 1843:Convex 1687:Mirror 1644:L-BFGS 1530:, and 1478:  1459:  1440:  1413:  1349:  654:where 133:, the 80:, its 32:, and 2114:Dinic 2022:Graph 1434:45–48 2080:SPFA 2048:Prim 1642:and 1476:ISBN 1457:ISBN 1438:ISBN 1411:ISBN 1347:ISBN 1278:and 1272:dual 1248:> 1161:and 821:and 437:. 20:(or 16:The 2010:cut 1875:and 1388:hdl 1380:doi 1282:). 137:is 22:DFP 2227:: 1526:, 1522:: 1436:. 1386:. 1378:. 1374:. 1251:0. 852:. 467:: 48:. 28:, 2008:/ 1512:e 1505:t 1498:v 1484:. 1465:. 1446:. 1419:. 1396:. 1390:: 1382:: 1355:. 1280:s 1276:y 1243:k 1239:s 1235:B 1230:T 1225:k 1221:s 1217:= 1212:k 1208:y 1202:T 1197:k 1193:s 1169:y 1147:T 1142:k 1138:s 1117:B 1095:. 1087:k 1083:s 1077:T 1072:k 1068:y 1060:T 1055:k 1051:s 1045:k 1041:s 1034:+ 1026:k 1022:y 1016:k 1012:H 1006:T 1001:k 997:y 989:k 985:H 979:T 974:k 970:y 964:k 960:y 954:k 950:H 938:k 934:H 930:= 925:1 922:+ 919:k 915:H 889:1 881:k 877:B 873:= 868:k 864:H 834:k 830:B 806:, 798:k 794:s 788:T 783:k 779:y 774:1 769:= 764:k 738:, 735:) 730:k 726:x 722:( 719:f 710:) 705:k 701:s 697:+ 692:k 688:x 684:( 681:f 675:= 670:k 666:y 639:, 634:T 629:k 625:y 619:k 615:y 609:k 601:+ 598:) 593:T 588:k 584:y 578:k 574:s 568:k 557:I 554:( 549:k 545:B 541:) 536:T 531:k 527:s 521:k 517:y 511:k 500:I 497:( 494:= 489:1 486:+ 483:k 479:B 453:k 449:B 425:B 399:+ 394:k 390:s 386:B 383:+ 380:) 375:k 371:x 367:( 364:f 358:= 355:) 350:k 346:s 342:+ 337:k 333:x 329:( 326:f 293:, 287:+ 282:k 278:s 273:B 267:T 262:k 258:s 252:2 249:1 244:+ 239:k 235:s 229:T 225:) 219:k 215:x 211:( 208:f 202:+ 199:) 194:k 190:x 186:( 183:f 180:= 177:) 172:k 168:s 164:+ 159:k 155:x 151:( 148:f 121:B 95:f 84:( 68:) 65:x 62:( 59:f

Index

William C. Davidon
Roger Fletcher
Michael J. D. Powell
quasi-Newton method
secant method
Hessian matrix
gradient
positive-definite
Hessian matrix
Taylor series
Taylor series
positive-definite matrix
Broyden–Fletcher–Goldfarb–Shanno formula
dual
Newton's method
Newton's method in optimization
Quasi-Newton method
Broyden–Fletcher–Goldfarb–Shanno (BFGS) method
Limited-memory BFGS method
Symmetric rank-one formula
Nelder–Mead method
ISBN
0-13-623603-0
"Variable Metric Method for Minimization"
doi
10.2172/4252678
hdl
2027/mdp.39015078508226
Practical methods of optimization
ISBN

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