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Gradient descent is a method for unconstrained mathematical optimization. ... A simple extension of gradient descent, stochastic gradient descent, ...
A conceptually simple extension of stochastic gradient descent makes the learning rate a decreasing function η t of the iteration number t, giving a learning rate schedule, so that the first iterations cause large changes in the parameters, while the later ones do only fine-tuning.
A comparison of the convergence of gradient descent with optimal step size (in green) and conjugate vector (in red) for minimizing a quadratic function associated with a given linear system. Conjugate gradient, assuming exact arithmetic, converges in at most n steps, where n is the size of the matrix of the system (here n = 2).
The Barzilai-Borwein method [1] is an iterative gradient descent method for unconstrained optimization using either of two step sizes derived from the linear trend of the most recent two iterates. This method, and modifications, are globally convergent under mild conditions, [ 2 ] [ 3 ] and perform competitively with conjugate gradient methods ...
In numerical optimization, the Broyden–Fletcher–Goldfarb–Shanno (BFGS) algorithm is an iterative method for solving unconstrained nonlinear optimization problems. [1] Like the related Davidon–Fletcher–Powell method, BFGS determines the descent direction by preconditioning the gradient with curvature information.
In mathematics, the method of steepest descent or saddle-point method is an extension of Laplace's method for approximating an integral, where one deforms a contour integral in the complex plane to pass near a stationary point (saddle point), in roughly the direction of steepest descent or stationary phase. The saddle-point approximation is ...
SGLD can be applied to the optimization of non-convex objective functions, shown here to be a sum of Gaussians. Stochastic gradient Langevin dynamics (SGLD) is an optimization and sampling technique composed of characteristics from Stochastic gradient descent, a Robbins–Monro optimization algorithm, and Langevin dynamics, a mathematical extension of molecular dynamics models.
and hence the algorithm is a special case of gradient descent. For ill-posed problems, the iterative method needs to be stopped at a suitable iteration index, because it semi-converges. This means that the iterates approach a regularized solution during the first iterations, but become unstable in further iterations.