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Problem 493. Quasi-Newton Method for Unconstrained Minimization using BFGS Update

Created by Robert Canfield

Write a function to find the values of a design variable vector, x, that minimizes an unconstrained scalar objective function, f, given a function handle to f and its gradient, a starting guess, x0, a gradient tolerance, TolGrad, and a maximum number of iterations, MaxIter, using the Quasi-Newton (Secant) Method. Initialize the Hessian approximation as an identity matrix. Update the Hessian matrix approximation using the BFGS update formula.

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Solution Statistics

9 correct solutions 19 incorrect solutions
Last solution submitted on Oct 15, 2014