Quasi-Newton Optimization Algorithm

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A Quasi-Newton Optimization Algorithm is a batch variable metric function optimization algorithm that approximates the Hessian matrix by analyzing successive gradient vectors.



  • http://en.wikipedia.org/wiki/Quasi-Newton_method
    • QUOTE: In optimization, quasi-Newton methods (a special case of variable metric methods) are algorithms for finding local maxima and minima of functions. Quasi-Newton methods are based on Newton's method to find the stationary point of a function, where the gradient is 0. Newton's method assumes that the function can be locally approximated as a quadratic in the region around the optimum, and uses the first and second derivatives to find the stationary point.

      In quasi-Newton methods the Hessian matrix of second derivatives of the function to be minimized does not need to be computed. The Hessian is updated by analyzing successive gradient vectors instead. Quasi-Newton methods are a generalization of the secant method to find the root of the first derivative for multidimensional problems. In multi-dimensions the secant equation is under-determined, and quasi-Newton methods differ in how they constrain the solution, typically by adding a simple low-rank update to the current estimate of the Hessian.

      The first quasi-Newton algorithm was proposed by W.C. Davidon, a physicist working at Argonne National Laboratory. He developed the first quasi-Newton algorithm in 1959: the DFP updating formula, which was later popularized by Fletcher and Powell in 1963, but is rarely used today. The most common quasi-Newton algorithms are currently the SR1 formula (for symmetric rank one), the BHHH method, the widespread BFGS method (suggested independently by Broyden, Fletcher, Goldfarb, and Shanno, in 1970), and its low-memory extension, L-BFGS. The Broyden's class is a linear combination of the DFP and BFGS methods.

      The SR1 formula does not guarantee the update matrix to maintain positive-definiteness and can be used for indefinite problems. The Broyden's method does not require the update matrix to be symmetric and it is used to find the root of a general system of equations (rather than the gradient) by updating the Jacobian (rather than the Hessian).

      One of the chief advantages of quasi-Newton methods over Newton's method is that the Hessian matrix (or, in the case of quasi-Newton methods, its approximation) [math]B[/math] does not need to be inverted. Newton's method, and its derivatives such as interior point methods, require the Hessian to be inverted, which is typically implemented by solving a system of linear equations and is often quite costly. In contrast, quasi-Newton methods usually generate an estimate of [math]B^{-1}[/math] directly.