Variable metric method for minimization. [In FORTRAN for IBM 704]
William C. Davidon · 1966
A method for determining numerically local minima of differentiable functions of several variables is described. In the process of locating each minimum, a matrix which characterizes the behavior of the function about the minimum is determined. For a region in which the function depends quadratically on the variables, no more than N iterations are required, where N is the number of variables. By suitable choice of starting values and without modification of the procedure, linear constraints can be imposed upon the variables. 8 figures.