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Pré-Publication, Document De Travail Année : 2022

Optimal step length for the maximal decrease of a self-concordant function by the Newton method

Résumé

In this paper we consider the problem of finding the optimal step length for the Newton method on the class of self-concordant functions, with the decrease in function value as criterion. We formulate this problem as an optimal control problem and use optimal control theory to solve it.

Dates et versions

hal-03796521 , version 1 (04-10-2022)

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Anastasia Ivanova, Roland Hildebrand. Optimal step length for the maximal decrease of a self-concordant function by the Newton method. 2022. ⟨hal-03796521⟩
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