Davidon–Fletcher–Powell formula - Alchetron, the free social encyclopedia

The Davidon–Fletcher–Powell formula (or DFP; named after William C. Davidon, Roger Fletcher, and Michael J. D. Powell) finds the solution to the secant equation that is closest to the current estimate and satisfies the curvature condition (see below). It was the first quasi-Newton method to generalize the secant method to a multidimensional problem. This update maintains the symmetry and positive definiteness of the Hessian matrix.

Given a function f ( x ) , its gradient ( ∇ f ), and positive definite Hessian matrix B , the Taylor series is:

f ( x k + s k ) = f ( x k ) + ∇ f ( x k ) T s k + 1 2 s k T B s k ,

and the Taylor series of the gradient itself (secant equation):

∇ f ( x k + s k ) = ∇ f ( x k ) + B s k ,

is used to update B . The DFP formula finds a solution that is symmetric, positive definite and closest to the current approximate value of B k :

B k + 1 = ( I − γ k y k s k T ) B k ( I − γ k s k y k T ) + γ k y k y k T ,

where

y k = ∇ f ( x k + s k ) − ∇ f ( x k ) , γ k = 1 y k T s k .

and B k is a symmetric and positive definite matrix. The corresponding update to the inverse Hessian approximation H k = B k − 1 is given by:

H k + 1 = H k − H k y k y k T H k y k T H k y k + s k s k T y k T s k .

B is assumed to be positive definite, and the vectors s k T and y must satisfy the curvature condition:

s k T y k = s k T B s k > 0.

The DFP formula is quite effective, but it was soon superseded by the BFGS formula, which is its dual (interchanging the roles of y and s).

References

Davidon–Fletcher–Powell formula Wikipedia

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