Details

Autor(en) / Beteiligte

• Rodomanov, Anton
• Nesterov, Yurii

Titel

New Results on Superlinear Convergence of Classical Quasi-Newton Methods

Ist Teil von

• Journal of optimization theory and applications, 2021-03, Vol.188 (3), p.744-769

Ort / Verlag

New York: Springer US

Erscheinungsjahr

2021

Link zum Volltext

Quelle

SpringerNature Journals

Beschreibungen/Notizen

• 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.