Department of Mathematics,
University of California San Diego
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Food For Thought Seminar
Michael Ferry
UCSD
Minimization: One Dimension at a Time
Abstract:
This talk will cover one of the more popular methods for unconstrained minimization and explore techniques to improve upon it. In particular, I will cover the BFGS method, a type of quasi-Newton method, where one seeks the minimizer by using a sequence of approximate quadratic models. The most important technique to improve upon this method is developed from the following idea, which is the heart of the talk: can we minimize a function over a k-dimensional subspace in such a way as to make minimizing over k+1 dimensions a trivial task? For quadratic functions, the answer turns out to be 'yes', which in turn motivates similar techniques for the nonlinear case. Some benefits are: we operate with significantly smaller matrices, have a smaller memory footprint, and can reinitialize the curvature at each iteration at little to no cost, which dramatically improves convergence when the function is ill-conditioned near the solution. Some knowledge of linear algebra will be helpful but not necessary - I will aim to make the talk as accessible as possible.
October 9, 2008
11:00 AM
AP&M B412
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