A Stochastic Quasi-Newton Method for Large-Scale Nonconvex Optimization with Applications

H. Chen; H. C. Wu; S. C. Chan; W. H. Lam

A Stochastic Quasi-Newton Method for Large-Scale Nonconvex Optimization with Applications

Numerical Analysis 2019-12-11 v1 Numerical Analysis Optimization and Control

Authors: H. Chen , H. C. Wu , S. C. Chan , W. H. Lam

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Abstract

This paper proposes a novel stochastic version of damped and regularized BFGS method for addressing the above problems.

Keywords

optimization algorithms newton methods convex optimization

Cite

@article{arxiv.1912.04456,
  title  = {A Stochastic Quasi-Newton Method for Large-Scale Nonconvex Optimization with Applications},
  author = {H. Chen and H. C. Wu and S. C. Chan and W. H. Lam},
  journal= {arXiv preprint arXiv:1912.04456},
  year   = {2019}
}