Bisection method

From Wikipedia, the free encyclopedia

A few steps of the bisection method applied over the starting range [a1;b1]. The bigger red
dot is the root of the function.
The bisection method in mathematics is a root-finding method that repeatedly bisects an
interval and then selects a subinterval in which a root must lie for further processing. It is a
very simple and robust method, but it is also relatively slow. Because of this, it is often used
to obtain a rough approximation to a solution which is then used as a starting point for more
rapidly converging methods.[1] The method is also called the interval halving method,[2] the
binary search method,[3] or the dichotomy method.[4]

BroydenFletcherGoldfarbShanno
algorithm
From Wikipedia, the free encyclopedia
In numerical optimization, the BroydenFletcherGoldfarbShanno (BFGS) algorithm
is an iterative method for solving unconstrained nonlinear optimization problems.
The BFGS method approximates Newton's method, a class of hill-climbing optimization
techniques that seeks a stationary point of a (preferably twice continuously differentiable)
function. For such problems, a necessary condition for optimality is that the gradient be
zero. Newton's method and the BFGS methods are not guaranteed to converge unless the

function has a quadratic Taylor expansion near an optimum. These methods use both the
first and second derivatives of the function. However, BFGS has proven to have good
performance even for non-smooth optimizations.[1]
In quasi-Newton methods, the Hessian matrix of second derivatives doesn't need to be
evaluated directly. Instead, the Hessian matrix is approximated using rank-one updates
specified by gradient evaluations (or approximate gradient evaluations). Quasi-Newton
methods are generalizations of the secant method to find the root of the first derivative for
multidimensional problems. In multi-dimensional problems, the secant equation does not
specify a unique solution, and quasi-Newton methods differ in how they constrain the
solution. The BFGS method is one of the most popular members of this class.[2] Also in
common use is L-BFGS, which is a limited-memory version of BFGS that is particularly
suited to problems with very large numbers of variables (e.g., >1000). The BFGS-B[3]
variant handles simple box constraints.

Contents

1 Rationale

2 Algorithm

3 Implementations

4 See also

5 Notes

6 Bibliography

7 External links

Rationale
The search direction pk at stage k is given by the solution of the analogue of the Newton
equation

where

is an approximation to the Hessian matrix which is updated iteratively at each

stage, and
is the gradient of the function evaluated at xk. A line search in the
direction pk is then used to find the next point xk+1. Instead of requiring the full Hessian
matrix at the point xk+1 to be computed as Bk+1, the approximate Hessian at stage k is
updated by the addition of two matrices.

Both Uk and Vk are symmetric rank-one matrices but have different (matrix) bases. The
symmetric rank one assumption here means that we may write

So equivalently, Uk and Vk construct a rank-two update matrix which is robust against the
scale problem often suffered in the gradient descent searching (e.g., in Broyden's method).
The quasi-Newton condition imposed on this update is

Algorithm
From an initial guess and an approximate Hessian matrix
repeated as
converges to the solution.
1. Obtain a direction

the following steps are

by solving:

2. Perform a line search to find an acceptable stepsize

in the direction found in the

3. Set
4.

5.
denotes the objective function to be minimized. Convergence can be checked by
observing the norm of the gradient,
. Practically,
can be initialized with
, so that the first step will be equivalent to a gradient descent, but further steps are
more and more refined by
, the approximation to the Hessian.
The first step of the algorithm is carried out using the inverse of the matrix
, which is
usually obtained efficiently by applying the ShermanMorrison formula to the fifth line of
the algorithm, giving

This can be computed efficiently without temporary matrices, recognizing that

and

is

are scalar, using an expansion such as

In statistical estimation problems (such as maximum likelihood or Bayesian inference),