Variable Metric Method for Minimization

Authors

William C. Davidon

Year

1991

Journal Paper

Algorithm

DFP

Source

SIAM Journal on Optimization

Identifiers

DOI 10.1137/0801001

Abstract¶

This is a method for determining numerically local minima of differentiable functions of several variables. In the process of locating each minimum, a matrix which characterizes the behavior of the function about the minimum is determined.

Summary¶

The foundational Davidon-Fletcher-Powell (DFP) quasi-Newton method, originally circulated as an Argonne National Laboratory technical report in 1959 and published formally in SIAM Journal on Optimization in 1991. DFP was the first practical quasi-Newton update formula, building a positive-definite Hessian approximation from gradient differences; it was later superseded by the closely related BFGS update.