An Unregularized Third Order Newton Method

MaRDI QIDQ6411426zbMATH OpenFDO

Authors Olha Silina, Jeffrey Zhang

Publication date 20 September 2022

Has companion code repository https://github.com/jeffreyzhang92/third_order_newton

Mathematics Subject Classification ID

Newton-type methods (49M15) Numerical mathematical programming methods (65K05) Semidefinite programming (90C22) Convex programming (90C25)

Abstract: In this paper, we propose a third-order Newton's method which in each iteration solves a semidefinite program as a subproblem. Our approach is based on moving to the local minimum of the third-order Taylor expansion at each iteration, rather than that of the second order. We show that this scheme has local cubic convergence. We then provide numerical experiments comparing this scheme to some standard algorithms.

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