Publication
Quasi-Newton (qN) techniques approximate the Newton step by estimating the Hessian using the so-called secant equations. Some of these methods compute the Hessian using several secant equations but produce non-symmetric updates. Other quasi-Newton schemes, such as BFGS, enforce symmetry but cannot satisfy more than one secant equation. We propose a new type of quasi-Newton symmetric update using several secant equations in a least-squares sense. Our approach generalizes and unifies the design of quasi-Newton updates and satisfies provable robustness guarantees.
Giancarlo Ferrari Trecate, Maryam Kamgarpour, Yuning Jiang, Baiwei Guo
Rachid Guerraoui, Youssef Allouah, Geovani Rizk, Nirupam Gupta, Rafaël Benjamin Pinot
Mario Paolone, Willem Lambrichts