Newton's method

Optimization · Formula · Not yet linked from a lesson

θt+1=θt−H−1∇θL\theta_{t+1} = \theta_t - H^{-1} \nabla_{\theta} L

Uses curvature as well as slope, jumping straight to the minimum of a local quadratic fit. It converges in dramatically fewer steps and is almost never used at scale, because inverting the Hessian is hopeless for billions of parameters.

Symbols

HH
The Hessian of second derivatives.
H−1H^{-1}
Its inverse, which rescales the step per direction.
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