At , gradient descent remains a plausible large-scale choice; dense Newton method and full-memory BFGS are generally impractical. A dense double-precision matrix alone contains entries, about TB. Dense factorization also has order arithmetic work. Full BFGS avoids factorization but retains quadratic storage and update work, so it does not solve that scaling problem.
Gradient descent uses linear working storage in , though the cost of reading the data and evaluating the gradient is still for dense . Sparsity or streaming can be important. Limited-memory BFGS, a distinct limited-memory variant, stores only a fixed number of recent update pairs and uses storage and update work, making it a realistic alternative to full BFGS.[ref]
The available Hessian matrix factorization also permits a matrix-free Hessian-vector product:
It costs for dense data without forming . A suitable iterative, safeguarded Newton method can exploit this structure, so the conclusion rules out the dense implementation rather than every possible second-order algorithm.
These methods seek a local solution and require convergence checks appropriate to nonconvex optimization. The formula does not even ensure a finite minimizer exists: with one positive coefficient and nonzero , the positive exponential loss approaches zero along an unbounded direction without attaining it. Dimension alone cannot supply a convergence guarantee.
Here a dense -by- matrix has entries, about GB even with eight-byte storage per entry. Use limited-memory BFGS on the negative of the objective, or equivalently its positive-definite approximate-metric form of gradient ascent. It stores only a fixed small number of vector pairs, costing memory rather than .
Let and put . Direct use of the chain rule gives
If denotes the positive-definite inverse-Hessian matrix approximation for , the iteration is
with a line search increasing and the usual safeguarded limited-memory updates. No exact Hessian matrix is required. With fixed memory and the usual bounded-metric and line search hypotheses, expect local linear convergence near a nondegenerate strict maximum; fixed-memory limited-memory BFGS does not generally inherit the superlinear theorem for full-memory BFGS.
Unlike the preceding objective, is not generally a concave function. Thus this is a method for finding a local maximum; comparison of different converged candidates or a global search is needed to certify a global maximum for arbitrary centres. The symbolic problem supplies no assumption that would justify an unconditional global-convergence claim.[ref]