Nonlinear Optimization using the Davidon Fletcher Powell (DFP) Algorithm with an example using analytically calculated derivatives

by Trent Guidry30. December 2011 12:25

The Davidon Fletcher Powell (DFP) algorithm was the first quasi Newton algorithm created.  

The quasi Newton algorithms are based on Newton's method for optimization and use an approximation of the Hessian matrix based on past positions and functional values rather than an analytically or numerically calculated one.

 

 

 

Davidon Fletcher Powell (DFP) Example

Davidon Fletcher Powell DFP Example

Iteration 1

Iteration 2

 

Iteration 3

 

Iteration 4