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Math Forum » Discussions » Software » comp.soft-sys.matlab

Topic: Non-linear optimization
Replies: 32   Last Post: Mar 8, 2013 2:22 AM

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Bruno Luong

Posts: 8,458
Registered: 7/26/08
Re: Non-linear optimization
Posted: Mar 7, 2013 4:51 PM
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"Matt J" wrote in message <khb188$n3q$1@newscl01ah.mathworks.com>...

> That much, I understand. Maybe I didn't understand what you meant by quasi-Newton being "quasi-efficient".

Practical experimental shows that one does not need to compute the true Hessian. The gain in number of iteration for convergence is minor, yet more complex calculation for the second order requires a lot of overhead in many cases.

>It looks like finding lambda for quasi-Newton-LM would be much more efficient than for true Newton-LM.

Not sure I understand your statement. In LM method, finding lambda is based on the same empirical rules that works equally well regardless which the Hessian approximation or true Hessian is chosen.

Bruno

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