A globally convergent BFGS method with nonmonotone line search for non-convex minimization
A modified nonmonotone BFGS (Broyden-Fletcher-Goldfarb-Shanno) method is developed for solving unconstrained optimization problems. In the proposed method, the function value at each iteration allows for an occasional increase. The method can converge to a local optimal point without a convex assumption on the objective functions. The global convergence is established under certain conditions. Some numerical experimental results are presented to compare its performance with the monotone BFGS method.
scientific article; zbMATH DE number 5570559
scientific article