A problem with rapidly convergent methods for unconstrained optimization like the Newton’s method is the computational difficulties arising specially from the second derivative. In this paper, a class of methods for solving unconstrained optimization problems is proposed which implicitly applies approximations to derivatives. This class of methods is based on a modified Steffensen method for finding roots of a function and attempts to make a quadratic model for the function without using the second derivative. Two methods of this kind with non-expensive computations are proposed which just use first derivative of the function. Derivative-free versions of these methods are also suggested for the cases where the gradient formulas are not available or difficult to evaluate. The theory as well as numerical examinations confirm the rapid convergence of this class of methods.
Accepté le :
DOI : 10.1051/ro/2017043
Keywords: Unconstrained optimization, derivative-free, newton’s method, Steffensen’s method
Afzalinejad, Mohammad 1
@article{RO_2019__53_2_657_0,
author = {Afzalinejad, Mohammad},
title = {Rapidly convergent {Steffensen-based} methods for unconstrained optimization},
journal = {RAIRO - Operations Research - Recherche Op\'erationnelle},
pages = {657--666},
year = {2019},
publisher = {EDP Sciences},
volume = {53},
number = {2},
doi = {10.1051/ro/2017043},
mrnumber = {3961735},
zbl = {07127208},
language = {en},
url = {https://www.numdam.org/articles/10.1051/ro/2017043/}
}
TY - JOUR AU - Afzalinejad, Mohammad TI - Rapidly convergent Steffensen-based methods for unconstrained optimization JO - RAIRO - Operations Research - Recherche Opérationnelle PY - 2019 SP - 657 EP - 666 VL - 53 IS - 2 PB - EDP Sciences UR - https://www.numdam.org/articles/10.1051/ro/2017043/ DO - 10.1051/ro/2017043 LA - en ID - RO_2019__53_2_657_0 ER -
%0 Journal Article %A Afzalinejad, Mohammad %T Rapidly convergent Steffensen-based methods for unconstrained optimization %J RAIRO - Operations Research - Recherche Opérationnelle %D 2019 %P 657-666 %V 53 %N 2 %I EDP Sciences %U https://www.numdam.org/articles/10.1051/ro/2017043/ %R 10.1051/ro/2017043 %G en %F RO_2019__53_2_657_0
Afzalinejad, Mohammad. Rapidly convergent Steffensen-based methods for unconstrained optimization. RAIRO - Operations Research - Recherche Opérationnelle, Tome 53 (2019) no. 2, pp. 657-666. doi: 10.1051/ro/2017043
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