A hybrid conjugate gradient method based on the self-scaled memoryless BFGS update

Abstract

In this work, we present a new conjugate gradient method adapting the approach of the hybridization of the conjugate gradient update parameters of DY and HS+ convexly, which is based on a quasi-Newton philosophy. The computation of the hybrization parameter is obtained by minimizing the distance between the hybrid conjugate gradient direction and the self-scaling memoryless BFGS direction. Our numerical experiments indicate that our proposed method is preferable and in general superior to classic conjugate gradient methods in terms of efficiency and robustness.