For , the Newton step equations imply . Solving the remaining equation gives the displayed scalar recurrence, defined when . Around its error factors exactly as
Thus any well-defined sequence converging to has quadratic convergence, or reaches that point exactly in finitely many steps. The scalar asymptotic error constant is ; the Euclidean norm error constant on the diagonal is . Around , replacing by gives the corresponding conclusion.
For a real symmetric invertible matrix , the full undamped Newton step for the displayed quadratic function sends every starting point to the unique stationary point:
This follows because the gradient is affine and its first-order expansion is exact. If is a positive-definite matrix the result is the unique global minimum; a negative-definite matrix gives a global maximum, and an indefinite matrix gives a saddle point. Thus exact arrival does not by itself show that a minimization method has minimized anything. A line search, damping, or a positive-definite matrix replacing the Hessian matrix changes this exact one-step assertion.
Expanding and taking partial derivatives gives the gradient and Hessian matrix
At , these are and
Thus the Newton step solves
The second equation gives ; substituting into the first gives . Hence
At , however,
The eigenvalues of this Hessian matrix are in direction and in direction . It is invertible but indefinite. Thus the Newton step is zero, and
This illustrates that stationary points are fixed points of Newton's method. Here the fixed point is a saddle point of a scalar function, not a local minimum. Indeed, direct substitution along the two eigenvector directions gives
For sufficiently small nonzero , one direction decreases and the other increases it. The global minimum is instead zero: the sum of squares vanishes at and . These are the only real zeros, since and imply . Thus a zero gradient is an insufficient stopping certificate for minimization problem without classifying the stationary point.
At , gradient descent and full BFGS are practical candidates; a dense Newton method can also be feasible, but its extra work and indefinite curvature need attention. The number of examples , data sparsity and conditioning still matter.
For dense , a gradient evaluation costs arithmetic, with working storage beyond the data and accumulation buffers. Gradient descent is inexpensive per iteration and, with an appropriate line search, follows a descent direction, but poor conditioning can make it slow.
Forming the Hessian matrix explicitly costs arithmetic, and a dense Newton method solve costs . A -square double-precision matrix uses about MB, so storage alone is manageable, but repeated factorization may be expensive. Because the Hessian matrix can be indefinite or singular, an unmodified Newton step need not decrease the loss; a modified Hessian, damping or a trust region is appropriate.
Full BFGS uses gradients and an curvature approximation, avoiding explicit second derivatives. Its rank-two updates and direction calculation cost per step and require roughly the same matrix storage. A positive-definite initial approximation with safeguarded curvature updates and a suitable line search preserves descent directions. For this scale it is often a good compromise, without guaranteeing a global minimum.[ref]
For Newton's method in optimization, let . Its second row equation is , so . Therefore . The given first coordinate yields
The Newton step is defined where ; both coordinates after any defined step are equal.
The matrix is an invertible matrix. Indeed, on the line spanned by it has eigenvalue , and on it agrees with the positive-definite restriction of . Therefore the full Newton step is well defined and gives
This is the unique stationary point because is an invertible matrix. The algebra applies to every starting point, but it does not make the answer a minimum: for it is the saddle point just classified, and for it is a maximum. A safeguarded minimization algorithm that replaces an indefinite matrix used as its Hessian matrix or damps the step need not take this exact step; the assertion concerns the ordinary full Newton step formula.