Block BFGS methods
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Abstract: We introduce a quasi-Newton method with block updates called Block BFGS. We show that this method, performed with inexact Armijo-Wolfe line searches, converges globally and superlinearly under the same convexity assumptions as BFGS. We also show that Block BFGS is globally convergent to a stationary point when applied to non-convex functions with bounded Hessian, and discuss other modifications for non-convex minimization. Numerical experiments comparing Block BFGS, BFGS and gradient descent are presented.
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Cites work
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- Local convergence analysis for partitioned quasi-Newton updates
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Cited in
(9)- On block minimal residual methods
- Block extrapolation methods with applications
- Block stochastic gradient iteration for convex and nonconvex optimization
- FETI-DP, BDDC, and block Cholesky methods
- A variational derivation of a class of BFGS-like methods
- Quasi-Newton methods: superlinear convergence without line searches for self-concordant functions
- Quasi-Newton methods for machine learning: forget the past, just sample
- An overview of stochastic quasi-Newton methods for large-scale machine learning
- Preconditioned pseudo-time continuation for parameterized inverse problems
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