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Optimal control
On the redundancy of Hessian nonsingularity for linear convergence rate of the Newton method applied to the minimization of convex functions
Yu. G. Evtushenkoab, A. A. Tret'yakovac a Federal Research Center "Computer Science and Control" of Russian Academy of Sciences, 119333, Moscow, Russia
b Moscow Institute of Physics and Technology, 141701, Dolgoprudny, Moscow oblast, Russia
c 08-110 Siedlce, Siedlce University, Faculty of Exact and Natural Sciences, Poland
Abstract:
A new property of convex functions that makes it possible to achieve the linear rate of convergence of the Newton method during the minimization process is established. Namely, it is proved that, even in the case of singularity of the Hessian at the solution, the Newtonian system is solvable in the vicinity of the minimizer; i.e., the gradient of the objective function belongs to the image of the matrix of second derivatives and, therefore, analogs of the Newton method may be used.
Key words:
convex function, Newton method, solvability, convergence, convergence rate, regularity.
Received: 10.08.2023 Revised: 07.11.2023 Accepted: 07.11.2023
Citation:
Yu. G. Evtushenko, A. A. Tret'yakov, “On the redundancy of Hessian nonsingularity for linear convergence rate of the Newton method applied to the minimization of convex functions”, Zh. Vychisl. Mat. Mat. Fiz., 64:4 (2024), 637–643; Comput. Math. Math. Phys., 64:4 (2024), 781–787
Linking options:
https://www.mathnet.ru/eng/zvmmf11731 https://www.mathnet.ru/eng/zvmmf/v64/i4/p637
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