Some remarks on the symmetric rank-one update

Abstract

We consider the symmetric rank-one, quasi-Newton formula. The hereditary properties of this formula do not require quasi-Newton directions of search. Therefore, this formula is easy to use in constrained optimization algorithms; no explicit projections of either the Hessian approximations or the parameter changes are required. Moreover, the entire Hessian approximation is available at each iteration for determining the direction of search, which need not be a quasi-Newton direction. Theoretical difficulties, however, exist. Even for a positive-definite, quadratic function with no constraints, it is possible that the symmetric rank-one update may not be defined at some iteration. In this paper, we first demonstrate that such failures of definition correspond to either losses of independence in the directions of search being generated or to near-singularity of the Hessian approximation being generated. We then describe a procedure that guarantees that these updates are well-defined for any nonsingular quadratic function. This procedure has been incorporated into an algorithm for minimizing a function subject to box constraints. Box constraints arise naturally in the minimization of a function with many minima or a function that is defined only in some subregion of the space. © 1979 Plenum Publishing Corporation.