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Quantitative Finance · Glosario

¿Qué es Newton’s method, quasi-Newton method, BFGS?

También llamado: Newton's method · quasi-Newton method · BFGS method

Definition 24.4 Quantitative Methods · Capítulo 24 — Numerical Optimisation in Practice

Newton’s method steps to the minimum of the local quadratic model, xk+1=xk−∇2f(xk)−1∇f(xk)x_{k+1} = x_k - \nabla^2f(x_k)^{-1}\nabla f(x_k). A quasi-Newton method replaces the Hessian by an approximation updated from gradient differences; the BFGS method (Broyden, Fletcher, Goldfarb and Shanno, 1970) updates the inverse approximation HH by H←(I−ρsy⊤)H(I−ρys⊤)+ρss⊤H \leftarrow (I - \rho sy^\top)H(I - \rho ys^\top) + \rho ss^\top, with ss the step, yy the gradient change and ρ=1/y⊤s\rho = 1/y^\top s; L-BFGS (Liu and Nocedal, 1989) keeps only the last few pairs.

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