Show that the BFGS formula (B.23) is the solution to the constrained optimization problem: [ mathbf{C}_{mathrm{BFGS}}=underset{mathbf{A} text

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Show that the BFGS formula (B.23) is the solution to the constrained optimization problem:

\[ \mathbf{C}_{\mathrm{BFGS}}=\underset{\mathbf{A} \text { subject to } \mathbf{A} \boldsymbol{g}=\mathbf{\delta}, \mathbf{A}=\mathbf{A}^{\top}}{\operatorname{argmin}} \mathscr{D}(\mathbf{0}, \mathbf{C} \mid \mathbf{0}, \boldsymbol{A}) \]


where \(\mathscr{D}\) is the Kullback-Leibler discrepancy defined in (B.22). On the other hand, show that the DFP formula (B.24) is the solution to the constrained optimization problem:
\[ \mathbf{C}_{\mathrm{DFP}}=\underset{\mathbf{A} \text { subject to } \mathbf{A} \boldsymbol{g}=\boldsymbol{\delta}, \mathbf{A}=\mathbf{A}^{\top}}{\operatorname{argmin}} \mathscr{D}(\mathbf{0}, \mathbf{A} \mid \mathbf{0}, \mathbf{C}) . \]

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Data Science And Machine Learning Mathematical And Statistical Methods

ISBN: 9781118710852

1st Edition

Authors: Dirk P. Kroese, Thomas Taimre, Radislav Vaisman, Zdravko Botev

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