October 2008
Intermediate to advanced
984 pages
30h 43m
English
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Appendix C. Cost Function Optimization
In this appendix, we review a number of optimization schemes that have been encountered throughout the book.
Let θ be an unknown parameter vector and J (θ) the corresponding cost function to be minimized. Function J(θ) is assumed to be differentiable
C.1. Gradient Descent Algorithm
The algorithm starts with an initial estimate θ(0) of the minimum point and the subsequent algorithmic iterations are of the
form(C.1)
(C.2)
where μ > 0. If a maximum is sought, the method is known as gradient ascent and the minus ...
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