com.numericalmethod.suanshu.optimization.unconstrained.quasinewton
Class BFGS

java.lang.Object
  com.numericalmethod.suanshu.optimization.unconstrained.steepestdescent.SteepestDescent
      com.numericalmethod.suanshu.optimization.unconstrained.quasinewton.QuasiNewton
          com.numericalmethod.suanshu.optimization.unconstrained.quasinewton.BFGS

All Implemented Interfaces:

Minimizer, UnconstrainedMinimizer

public class BFGS
extends QuasiNewton

The Broyden-Fletcher-Goldfarb-Shanno method is a quasi-Newton method to solve unconstrained nonlinear optimization problems. The Hessian matrix of the function to be minimized needs not to be computed at any stage. The Hessian is updated by analyzing successive gradient vectors instead.

See Also:

• "Section 7.6, eq. 7.57. Practical Optimization: Algorithms and Engineering Applications. Andreas Antoniou, Wu-Sheng Lu."
• Wikipedia: BFGS method

Nested Class Summary

Nested classes/interfaces inherited from class com.numericalmethod.suanshu.optimization.unconstrained.quasinewton.QuasiNewton

QuasiNewton.QuasiNewtonImpl

Nested classes/interfaces inherited from class com.numericalmethod.suanshu.optimization.unconstrained.steepestdescent.SteepestDescent

SteepestDescent.LineSearch

Field Summary

Fields inherited from class com.numericalmethod.suanshu.optimization.unconstrained.steepestdescent.SteepestDescent

f, g, tol

Constructor Summary

BFGS()

Method Summary

protected SteepestDescent.LineSearch	getLineSearch()
void	solve(boolean isFletcherSwitch, RealScalarFunction f, RealVectorFunction g, double tol)

Methods inherited from class com.numericalmethod.suanshu.optimization.unconstrained.steepestdescent.SteepestDescent

minimum, search, solve, solve, solve

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BFGS

public BFGS()

Method Detail

solve

public void solve(boolean isFletcherSwitch,
                  RealScalarFunction f,
                  RealVectorFunction g,
                  double tol)

getLineSearch

protected SteepestDescent.LineSearch getLineSearch()

Specified by:

getLineSearch in class SteepestDescent