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arXiv · 2002.00657

Greedy Quasi-Newton Methods with Explicit Superlinear Convergence

Anton Rodomanov·Yurii Nesterov
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Abstract

In this paper, we study greedy variants of quasi-Newton methods. They are based on the updating formulas from a certain subclass of the Broyden family. In particular, this subclass includes the well-known DFP, BFGS and SR1 updates. However, in contrast to the classical quasi-Newton methods, which use the difference of successive iterates for updating the Hessian approximations, our methods apply basis vectors, greedily selected so as to maximize a certain measure of progress. For greedy quasi-Newton methods, we establish an explicit non-asymptotic bound on their rate of local superlinear convergence, which contains a contraction factor, depending on the square of the iteration counter. We also show that these methods produce Hessian approximations whose deviation from the exact Hessians linearly convergences to zero.

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Anton Rodomanov, Yurii Nesterov. 2020-02-03. Greedy Quasi-Newton Methods with Explicit Superlinear Convergence. https://doi.org/10.1137/20m1320651

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