Advancing Multi-Secant Quasi-Newton Methods for General Convex Functions

Abstract: Quasi-Newton (QN) methods provide an efficient alternative to second-order methods for minimizing smooth unconstrained problems. While QN methods generally compose a Hessian estimate based on one secant interpolation per iteration, multisecant methods use multiple secant interpolations and can improve the quality of the Hessian estimate at small additional overhead cost. However, implementing multisecant QN methods has several key challenges involving method stability, the most critical of which is that when the objective function is convex but not quadratic, the Hessian approximate is not, in general, symmetric positive semidefinite (PSD), and the steps are not guaranteed to be descent directions. We therefore investigate a symmetrized and PSD-perturbed Hessian approximation method for multisecant QN. We offer an efficiently computable method for producing the PSD perturbation, show superlinear convergence of the new method, and demonstrate improved numerical experiments over general convex minimization problems. We also investigate the limited memory extension of the method, focusing on BFGS, on both convex and non-convex functions. Our results suggest that in ill-conditioned optimization landscapes, leveraging multiple secants can accelerate convergence and yield higher-quality solutions compared to traditional single-secant methods.