Secant penalized BFGS: a noise robust quasi-Newton method via penalizing the secant condition

Brian Irwin, Eldad Haber

Abstract: In this paper, we introduce a new variant of the BFGS method designed to perform well when gradient measurements are corrupted by noise. We show that treating the secant condition with a penalty method approach motivated by regularized least squares estimation generates a parametric family with the original BFGS update at one extreme and not updating the inverse Hessian approximation at the other extreme. Furthermore, we find the curvature condition is relaxed as the family moves towards not updating the inverse Hessian approximation, and disappears entirely at the extreme where the inverse Hessian approximation is not updated. These developments allow us to develop a method we refer to as Secant Penalized BFGS (SP-BFGS) that allows one to relax the secant condition based on the amount of noise in the gradient measurements. SP-BFGS provides a means of incrementally updating the new inverse Hessian approximation with a controlled amount of bias towards the previous inverse Hessian approximation, which allows one to replace the overwriting nature of the original BFGS update with an averaging nature that resists the destructive effects of noise and can cope with negative curvature measurements. We discuss the theoretical properties of SP-BFGS, including convergence when minimizing strongly convex functions in the presence of uniformly bounded noise. Finally, we present extensive numerical experiments using over 30 problems from the CUTEst test problem set that demonstrate the superior performance of SP-BFGS compared to BFGS in the presence of both noisy function and gradient evaluations.