Superlinear Convergence and Implicit Filtering
نویسندگان
چکیده
منابع مشابه
Superlinear Convergence and Implicit Filtering
In this note we show how the implicit filtering algorithm can be coupled with the BFGS quasi-Newton update to obtain a superlinearly convergent iteration if the noise in the objective function decays sufficiently rapidly as the optimal point is approached. We show how known theory for the noise-free case can be extended and thereby provide a partial explanation for the good performance of quasi...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2000
ISSN: 1052-6234,1095-7189
DOI: 10.1137/s1052623499354096