Duality in quasi-newton methods and new variational characterizations of the DFP and BFGS updates

It is known that quasi-Newton updates can be characterized by variational means, sometimes in more than one way. This paper has two main goals. We first formulate variational problems appearing in quasi-Newton methods within the space of symmetric matrices. This simplies both their formulations and their subsequent solutions. We then construct, for the first time, … Read more

Recursive Construction of Optimal Self-Concordant Barriers for Homogeneous Cones

In this paper, we give a recursive formula for optimal dual barrier functions on homogeneous cones. This is done in a way similar to the primal construction of Guler and Tuncel by means of the dual Siegel cone construction of Rothaus. We use invariance of the primal barrier function with respect to a transitive subgroup … Read more

Variational Problems in Quasi-Newton Methods

It has been known since the early 1970s that the Hessian matrices in quasi-Newton methods can be updated by variational means, in several different ways. The usual formulation of these variational problems uses a coordinate system, and the symmetry of the Hessian matrices are enforced as explicit constraints. As a result, the variational problems seem … Read more