I'm looking for a clear exposition of the Davidon-Fletcher-Powell (DFP) and
Broyden-Fletcher-Goldfarb-Shanno (BFGS) methods to find a maximizer or
minimizer of a function. My current sources of information on these methods
are (1) Greene's "Econometric Analysis" (3rd edition), (2) Dahlquist and
Bjorck's "Numerical Methods," and (3) Wikipedia. There seems to be some
inconsistency between these 3 expositions. Partly it's because the formulas
for maximization differ from the formulas for minimization. Minimizing f is
equivalent to maximizing minus f, and I should be able to use this principle
to derive the formulas for minimization from those for maximization (or vice
versa). However, I'm still getting sign inconsistencies when I carry this
program through. The local libraries are of limited usefulness for this
matter, so I'm hoping someone on this list has a clear exposition of these
methods in PDF form (or MS Word, or EXP) and can send it to me as an
attachment.
Thanks,
Frank Benford