# Quasi-Newton Methods: A New Direction

@article{Hennig2012QuasiNewtonMA, title={Quasi-Newton Methods: A New Direction}, author={Philipp Hennig and Martin Kiefel}, journal={ArXiv}, year={2012}, volume={abs/1206.4602} }

Four decades after their invention, quasi-Newton methods are still state of the art in unconstrained numerical optimization. Although not usually interpreted thus, these are learning algorithms that fit a local quadratic approximation to the objective function. We show that many, including the most popular, quasi-Newton methods can be interpreted as approximations of Bayesian linear regression under varying prior assumptions. This new notion elucidates some shortcomings of classical algorithms… CONTINUE READING

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