Harvard AM205 video 4.9 - Quasi-Newton methods
Channel: Chris Rycroft
Date: 2020-12-07

Harvard Applied Math 205 is a graduate-level course on scientific computing and numerical methods. The previous video in this series discussed using the Newton method to find local minima of a function; while this method can be highly efficient, it requires the exact Hessian of the function in order to work, which can be expensive and laborious to compute in some cases.

Here we discuss quasi-Newton methods that do not require the exact Hessian. In particular the Brodyen–Fletcher–Goldfarb–Shanno (BFGS) method is discussed and presented in detail. When describing the mathematics behind the BFGS method, the related Broyden root-finding algorithm is also discussed.

For more information see the main course website at https://people.math.wisc.edu/~chr/am205