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Accelerating optimization by tracing valley
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DOI：10.1016/j.cpc.2016.03.002.png)
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Abstract
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We propose an algorithm to accelerate optimization when an objective function locally resembles a long narrow valley. In such a case, a conventional optimization algorithm usually wanders with too many tiny steps in the valley. The new algorithm approximates the valley bottom locally by a parabola that is obtained by fitting a set of successive points generated recently by a conventional optimization method. Then large steps are taken along the parabola, accompanied by fine adjustment to trace the valley bottom. The effectiveness of the new algorithm has been demonstrated by accelerating the Newton trust region minimization method and the Levenberg-Marquardt method on the nonlinear fitting problem in exact diagonalization dynamical mean-field theory and on the classic minimization problem of the Rosenbrock's function. Many times speedup has been achieved for both problems, showing the high efficiency of the new algorithm. (C) 2016 Elsevier B.V. All rights reserved.
Keywords:
Accelerate optimization
Long narrow valley
Nonlinear fitting
Newton trust-region minimization
Levenberg-Marquardt method
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