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 ().