A. Forsgren et al., COMPUTING MODIFIED NEWTON DIRECTIONS USING A PARTIAL CHOLESKY FACTORIZATION, SIAM journal on scientific computing, 16(1), 1995, pp. 139-150
The effectiveness of Newton's method for finding an unconstrained mini
mizer of a strictly convex twice continuously differentiable function
has prompted the proposal of various modified Newton methods for the n
onconvex case. Linesearch modified Newton methods utilize a linear com
bination of a descent direction and a direction of negative curvature.
If these directions are sufficient in a certain sense, and a suitable
linesearch is used, the resulting method will generate limit points t
hat satisfy the second-order necessary conditions for optimality. The
authors propose an efficient method for computing a descent direction
and a direction of negative curvature that is based on a partial Chole
sky factorization of the Hessian. This factorization not only gives th
eoretically satisfactory directions, but also requires only a partial
pivoting strategy; i.e., the equivalent of only two rows of the Schur
complement needs to be examined at each step.