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比利时vs摩洛哥足彩 ,
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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