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Quasi-Newton local optimization method
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README.md

Broyden-Fletcher-Goldfarb-Shanno

This is implimentation of Quasi-Newton optimization method with BFGS algorithm in C/C++.

  • One-dimensional search uses the golden-section search which is suitable for unimodal functions.
  • For solving constrained optimization problems, a penalty method is used.
  • For simplicity and clarity, operator overloading implemented in the matrices class with C++.

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