The Global Convergence of a Modified BFGS Method under Inexact Line Search for Nonconvex Functions

Abstract

Among the quasi-Newton algorithms, the BFGS method is often discussed by related scholars. However, in the case of inexact Wolfe line searches or even exact line search, the global convergence of the BFGS method for nonconvex functions is not still proven. Based on the aforementioned issues, we propose a new quasi-Newton algorithm to obtain a better convergence property; it is designed according to the following essentials: (1) a modified BFGS formula is designed to guarantee that Bk+1 inherits the positive definiteness of Bk; (2) a modified weak Wolfe-Powell line search is recommended; (3) a parabola, which is considered as the projection plane to avoid using the invalid direction, is proposed, and the next point xk+1 is designed by a projection technique; (4) to obtain the global convergence of the proposed algorithm more easily, the projection point is used at all the next iteration points instead of the current modified BFGS update formula; and (5) the global convergence of the given algorithm is established under suitable conditions. Numerical results show that the proposed algorithm is efficient.