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Method of Steepest Descent

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An algorithm for finding the nearest local minimum of a function which presupposes that the gradient of the function
can be computed. The method of steepest descent, also called the gradient descent method, starts at a point
and,
as many times as needed, moves from
to
by minimizing along the line extending from
in the direction of
, the local downhill gradient.

period .02

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13,540 entries
Last updated: Sun Nov 30 2014

Created, developed, and

nurtured by Eric Weisstein
at Wolfram Research

When applied to a 1-dimensional function

from a starting point

function

for some small

with

, the method takes the form of iterating

until a fixed point is reached. The results are illustrated above for the
and starting points
and 0.01, respectively.

This method has the severe drawback of requiring a great many iterations for functions which have long, narrow valley
structures. In such cases, a conjugate gradient method is preferable.

SEE ALSO:

Conjugate Gradient Method, Gradient, Local Minimum, Minimum

REFERENCES:
Arfken, G. "The Method of Steepest Descents." 7.4 in Mathematical Methods for Physicists, 3rd ed. Orlando, FL: Academic
Press, pp. 428-436, 1985.
Menzel, D. (Ed.). Fundamental Formulas of Physics, Vol. 2, 2nd ed. New York: Dover, p. 80, 1960.
Morse, P. M. and Feshbach, H. "Asymptotic Series; Method of Steepest Descent." 4.6 in Methods of Theoretical Physics, Part I.
New York: McGraw-Hill, pp. 434-443, 1953.
Press, W. H.; Flannery, B. P.; Teukolsky, S. A.; and Vetterling, W. T. Numerical Recipes in FORTRAN: The Art of Scientific
Computing, 2nd ed. Cambridge, England: Cambridge University Press, p. 414, 1992.
Wolfram, S. A New Kind of Science. Champaign, IL: Wolfram Media, p. 985, 2002.

Referenced on Wolfram|Alpha: Method of Steepest Descent

CITE THIS AS:
Weisstein, Eric W. "Method of Steepest Descent." From MathWorld--A Wolfram Web Resource. http://mathworld.wolfram.com
/MethodofSteepestDescent.html

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