A NEW LIMITED MEMORY QUASI-NEWTON METHOD FOR UNCONSTRAINED OPTIMIZATION

A NEW LIMITED MEMORY QUASI-NEWTON METHOD FOR UNCONSTRAINED OPTIMIZATION

The main concern of this paper is to develop a new class of quasi-newton methods. These methods are intended for use whenever memory space is a major concern and, hence, they are usually referred to as limited memory methods. The methods developed in this work are sensitive to the choice of the memory parameter ${\eta}$ that defines the amount of past information stored within the Hessian (or its inverse) approximation, at each iteration. The results of the numerical experiments made, compared to different choices of these parameters, indicate that these methods improve the performance of limited memory quasi-Newton methods.