A Closed Loop Gradient Descent Algorithm applied to Rosenbrock's function

08/29/2021

∙

by   Subhransu Bhattacharjee, et al.

∙

0

∙

share

We introduce a novel adaptive damping technique for an inertial gradient system which finds application as a gradient descent algorithm for unconstrained optimisation. In an example using the non-convex Rosenbrock's function, we show an improvement on existing momentum-based gradient optimisation methods. Also using Lyapunov stability analysis, we demonstrate the performance of the continuous-time version of the algorithm. Using numerical simulations, we consider the performance of its discrete-time counterpart obtained by using the symplectic Euler method of discretisation.