EconPapers    
Economics at your fingertips  
 

New Results on Superlinear Convergence of Classical Quasi-Newton Methods

Anton Rodomanov () and Yurii Nesterov ()
Additional contact information
Anton Rodomanov: Catholic University of Louvain
Yurii Nesterov: Catholic University of Louvain

Journal of Optimization Theory and Applications, 2021, vol. 188, issue 3, No 7, 744-769

Abstract: Abstract We present a new theoretical analysis of local superlinear convergence of classical quasi-Newton methods from the convex Broyden class. As a result, we obtain a significant improvement in the currently known estimates of the convergence rates for these methods. In particular, we show that the corresponding rate of the Broyden–Fletcher–Goldfarb–Shanno method depends only on the product of the dimensionality of the problem and the logarithm of its condition number.

Keywords: Quasi-Newton methods; Convex Broyden class; DFP; BFGS; Superlinear convergence; Local convergence; Rate of convergence; 90C53; 90C30; 68Q25 (search for similar items in EconPapers)
Date: 2021
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://link.springer.com/10.1007/s10957-020-01805-8 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:joptap:v:188:y:2021:i:3:d:10.1007_s10957-020-01805-8

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10957/PS2

DOI: 10.1007/s10957-020-01805-8

Access Statistics for this article

Journal of Optimization Theory and Applications is currently edited by Franco Giannessi and David G. Hull

More articles in Journal of Optimization Theory and Applications from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2025-03-20
Handle: RePEc:spr:joptap:v:188:y:2021:i:3:d:10.1007_s10957-020-01805-8