Variable Metric Method for Minimization¶
Authors: William C. Davidon
Published: 1991 (Journal Paper)
Source: SIAM Journal on Optimization
Algorithm: DFP
DOI: 10.1137/0801001
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quasi-Newton update formula, building a positive-definite Hessian approximation from gradient differences; it was later superseded by the closely related BFGS update.
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.
Links¶
Tags¶
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Quasi-Newton methods
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DFP
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Optimization
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Variable metric
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Unconstrained optimization
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Numerical optimization