Historical development of the BFGS secant method and its characterization properties

摘要

The BFGS secant method is the preferred secant method for finite-dimensional unconstrained optimization. The first part of this research consists of recounting the historical development of secant methods in general and the BFGS secant method in particular. Many people believe that the secant method arose from Newton's method using finite difference approximations to the derivative. We compile historical evidence revealing that a special case of the secant method predated Newton's method by more than 3000 years. We trace the evolution of secant methods from 18th-century B.C. Babylonian clay tablets and the Egyptian Rhind Papyrus. Modifications to Newton's method yielding secant methods are discussed and methods we believe influenced and led to the construction of the BFGS secant method are explored.In the second part of our research, we examine the construction of several rank-two secant update classes that had not received much recognition in the literature. Our study of the underlying mathematical principles and characterizations inherent in the updates classes led to theorems and their proofs concerning secant updates. One class of symmetric rank-two updates that we investigate is the Dennis class. We demonstrate how it can be derived from the general rank-one update formula in a purely algebraic manner not utilizing Powell's method of iterated projections as Dennis did it. The literature abounds with update classes; we show how some are related and show containment when possible. We derive the general formula that could be used to represent all symmetric rank-two secant updates. From this, particular parameter choices yielding well-known updates and update classes are presented. We include two derivations of the Davidon class and prove that it is a maximal class. We detail known characterization properties of the BFGS secant method and describe new characterizations of several secant update classes known to contain the BFGS update. Included is a formal proof of the conjecture made by Schnabel in his 1977 Ph.D. thesis that the BFGS update is in some asymptotic sense the average of the DFP update and the Greenstadt update.