Questions tagged [quasi-newton]
Use for questions involving quasi-Newton method, which in contrast to [tag:newton-method] uses an approximation of the Hessian during the root-finding or optimization process.
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Hessian-free preconditioner for non linear least squares
I am solving a nonlinear least squares problem using Gauss Newton method. Due to the large dimension of the problem, I use the Hessian-free approach. As a linear solver I use either MINRES or CG. To ...
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Difference between asymptotic and non-asymptotic convergence in optimization?
I am reading some optimization methods and I am facing some issues with two terms "asymptotic and non-asymptotic convergence". What is the difference between them?
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Interpretation of error between Hessian approximation and real Hessian - Quasi-Newton Method
$$ ||I- H_{k}^{BFGS}\nabla^{2}f(x_{k})||_{2}$$
, where $H_{k}$ is the inverse of hessian approximation at each iteration.
I am given this expression to assess the error in Hessian approximation in ...
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General question related to BFGS
Based on my basic understanding of the BFGS method, the algorithm will iterate until the gradient norm is less than or equal to a set value called "gtol" in the case of Python.
However, when ...
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When does L-BFGS outperform GD?
In practice, L-BFGS is frequently held comparably to other inexact QN methods, and it provides a middle ground of sorts between Hestenes–Stiefel CG and BFGS as memory goes from zero to infinity (...
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Solution predictors for accelerating convergence in nonlinear FEM
I am looking for the details of commonly-used predictors for accelerating the convergence of iterations using Newton-Raphson scheme for nonlinear problems in FEM. I am looking specifically for static ...
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Does BFGS preserve the bandedness of the inverse hessian?
In the BFGS method we perform iterations by calculating an approximation $\boldsymbol{H}_k$ to the inverse Hessian $\boldsymbol{H}$ of the objective function. This method belongs to a family of ...
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Sensitivity of BFGS to the accuracy of the gradient
I am studying how to speed-up the BFGS method using quantum computing techniques.
I have used a method of speeding up the gradient of the function, but it sacrifices the precision value of the ...
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How to use Wolfe-Powell step-size control in quasi-Newton method?
I'm trying to find the minimum of a function using the quasi-Newton method with the Broyden-Fletcher-Goldfarb-Shanno (BFGS) algorithm.
But I want to change the following implementation, so that:
1) ...
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Product of rank one updates as a low rank update for quasi newton/BFGS
I'm trying to improve the speed of the following iteration to calculate $s_k$:
$$B_k^{-1} = \Bigg( I + \frac{s_{k}s_{k-1}^T}{||s_{k-1}||^2}\Bigg)...\Bigg(I+ \frac{s_1s_0^T}{||s_0||^2}\Bigg) B_0^{-1}\\...
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Computational complexity of Newton's method
the classical Newton's method for non-linear systems of equations is $x_{k+1} =x_k-J_F(x_n)^{-1} F(x_n)$. In pratice, rather than compute the inverse of the Jacobian matrix, one solves the systems $...
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How to prevent BFGS from getting stuck on astronomically large gradient?
I have implemented BFGS myself from scratch in order to solve minimization problems. Part of BFGS, as I understand it, is that the approximation to the Hessian is supposed to be positive definite, ...
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Linear constraints for L-BFGS-B
I know L-BFGS-B only supports simple box constrains of the form: $l_i \leq x_i \leq u_i$, where $l_i$ and $u_i$ are constants. For my specific optimization problem, I need to specify some simple ...
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Minimize interesting objective function with knowledge of gradient nonlinearity?
I plan on using a Quasi-Newton method (L-BFGS) to minimize a non-linear objective function.
$$ f: \mathbb{R}^n \rightarrow \mathbb{R}$$
The gradient is kind of interesting: as the values of the ...
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How to avoid the Broyden's jacobian approximation becoming poorer with the number of iterations?
I have to solve many times a nonlinear system of the form
$$f(x) = b^{(n)}$$
inside a loop.
The function $f$ is expensive to compute and I do not have its jacobian, so I have tried the good Broyden's ...
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Low-rank updates in BFGS
I have read this and other threads on this site on BFGS, but I still don't have a clear understanding of what it's meant by low-rank updates.
For example, I read the following in this book:
The ...
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Doubt regarding principled approach towards approximating the Hessian
In my optimization problem, the hessian has a structure such that it can be written as the sum of two matrices. Populating the first of the matrices is efficient. Populating the second one is ...
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Quasi-Newton Optimization with parallel function evaluation
I have a function of many variables (~200-2000) which I am optimizing with some success using L-BFGS. While the function is expensive to evaluate, the gradient can be computed with not much additional ...
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Weighted Frobenius norm in BFGS
In what sense is the weighted Frobenius norm "adimensional"/"scale-invariant" for any symmetric positive definite weight matrix $W$? If we plug in a positive diagonal matrix into $W$ wee see that $||A|...
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Quasi Newton taking very small steps
I have implemented a Quasi-Newton method based on the Hessian approximation. I am noticing that the algorithm takes too many iterations to converge, even though it does converge. What I am not able to ...
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The linear system in Quasi Newton method
I have implemented a Quasi Newton method for my problem, where I use the Hessian matrix approximation based approach. Hence, there is a linear system solve in every iteration. I solve the linear ...
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