next up previous
Next: HOMEWORK Up: No Title Previous: Broyden's Method

Descent methods

We have seen these before in our study of linear systems. On the one hand, minimization of tex2html_wrap_inline172 is almost easier than finding a zero of tex2html_wrap_inline174 . We saw before that simple descent sends us in the locally steepest direction, but that search direction may not be the best from a global perspective.

To use minimization methods, consider the current values tex2html_wrap_inline176 , where tex2html_wrap_inline178 is the stepsize in the direction of minus the gradient. The question we faced before is: How do we choose this stepsize? If we could, the best procedure would be to minimize tex2html_wrap_inline180 as a function of tex2html_wrap_inline178 . Often this is not possible. So what then?

The recommended procedure is called backtracking. Evaluate tex2html_wrap_inline184 and see if this is less than the current value tex2html_wrap_inline186 . If yes, accept that value and continue. If not, consider a locally quadratic model tex2html_wrap_inline188 . To evaluate these coefficients, use the values we determined above - tex2html_wrap_inline190 - amd minimize this quadratic model at tex2html_wrap_inline192 . Providing this leads to a value of x sufficiently different than the current value, accept it.



E. Bruce Pitman
Tue Nov 17 10:17:29 EST 1998