A globally convergent BFGS method for nonlinear monotone equations without any merit functions

Zhou, Wei-Jun; Li, Dong-Hui

doi:10.1090/S0025-5718-08-02121-2

A globally convergent BFGS method for nonlinear monotone equations without any merit functions
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by Wei-Jun Zhou and Dong-Hui Li PDF

Math. Comp. 77 (2008), 2231-2240 Request permission

Abstract:

Since 1965, there has been significant progress in the theoretical study on quasi-Newton methods for solving nonlinear equations, especially in the local convergence analysis. However, the study on global convergence of quasi-Newton methods is relatively fewer, especially for the BFGS method. To ensure global convergence, some merit function such as the squared norm merit function is typically used. In this paper, we propose an algorithm for solving nonlinear monotone equations, which combines the BFGS method and the hyperplane projection method. We also prove that the proposed BFGS method converges globally if the equation is monotone and Lipschitz continuous without differentiability requirement on the equation, which makes it possible to solve some nonsmooth equations. An attractive property of the proposed method is that its global convergence is independent of any merit function.We also report some numerical results to show efficiency of the proposed method.

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