Hybrid Joint-Selective Optimization: Reduced-Space Levenberg-Marquardt Refinement of Low-Dimensional Parameters of Interest
Authors: Muhammad Luthfi Shahab, Gabriella Alfa Indahsari, Imam Mukhlash, Hadi Susanto
Organizations: Department of Mathematics, Institut Teknologi Sepuluh Nopember, Surabaya, 60111, Indonesia · Department of Mathematics, Khalifa University of Science & Technology, Abu Dhabi, PO Box 127788, United Arab Emirates
This paper introduces a hybrid joint-selective optimization (HJSO) framework for large-scale numerical problems in which a small subset of trainable quantities is of primary interest. We partition the full parameter vector into a high-dimensional remaining block and a low-dimensional block of parameters of interest (POIs), perform joint first-order optimization over the full parameter set, and then freeze the remaining variables while applying a reduced-space Levenberg-Marquardt (LM) refinement to the POIs. The method is designed for settings in which the POIs are low-dimensional but strongly influence the quality of the computed solution, while the full parameter space remains too large for full-space second-order methods. The framework is evaluated on three representative problems: a matrix eigenvalue problem, an inverse Bratu problem solved with a physics-informed neural network, and a 100-dimensional nonlinear Black-Scholes problem solved with the DeepBSDE method. In each test, HJSO reaches prescribed POI-error thresholds faster than the corresponding joint first-order baseline and improves the final POI accuracy for the reported solver configurations. The contribution is therefore not a universal optimizer, but a practical reduced-space strategy for problems with known low-dimensional parameters of interest and expensive high-dimensional training variables.
Figures & tables
Setting
Eigenvalue Problem
Inverse Bratu PINNs
Black–Scholes DeepBSDE
Outer cycles, T
200
400
100
Joint-phase solver
MATLAB fminunc
MATLAB fminunc
TensorFlow Adam
Joint-phase algorithm
Steepest descent
Steepest descent
Adam
Joint-phase iterations, TFO
50
50
100
Joint-phase step tolerance
10−12
10−12
–
Selective-phase solver
MATLAB fsolve
MATLAB fsolve
SciPy least_squares
Table 1 : Optimization settings used for JO and HJSO in the numerical experiments.
Setting
Eigenvalue Problem
Inverse Bratu PINNs
Black–Scholes DeepBSDE
Problem dimension
n=200
One-dimensional
d=100
Parameter(s) of interest
λ
(λ1,λ2)
u0
Initial POI(s)
λ(0)=120
(λ1(0),λ2(0))=(0,0)
u0(0)=100
Remaining trainable parameters
Eigenvector v
NN weights and biases w
DeepBSDE NN parameters
Neural-network architecture
–
NN(1,20,20,1)
Hidden layers (110,110)
Training/collocation points
–
99
Batch size 64
Table 2 : Problem-specific settings used in the numerical experiments.
Method
Loss
λ
APE λ
Time (s)
Time to 1% APE (s)
HJSO
8.5×10−17
109.2516
8.4×10−13
0.54
0.13
JO
3.4×10−2
109.4358
1.6×10−1
22
14
Table 3 : Comparison of JO and HJSO for the largest eigenvalue of the 200×200 Lehmer matrix.
Method
Loss
λ1
λ2
APE λ1
APE λ2
Time (s)
Time to 1% APE (s)
HJSO
9.9×10−6
1.9955
1.0082
0.2236
0.8250
99
9.1
JO
1.9×10−3
2.1295
0.7559
6.4772
24.4068
109
–
Table 4 : Comparison of JO and HJSO for the inverse Bratu problem.
Method
Loss
u0
APE u0
Time (s)
Time to 1% APE (s)
HJSO
22.6285
57.1889
0.1938
1553
78
JO
22.7697
57.0165
0.4948
1432
1198
Table 5 : Comparison of JO and HJSO for the 100-dimensional nonlinear Black–Scholes problem.
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Saeed Masiha, Zebang Shen, Negar Kiyavash +1
EPFL School of Management of Technology, Station 5, 1015 Lausanne, Switzerland · ETH Department of Computer Science, Universitätstrasse 6, 8092 Zürich, Switzerland
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Department of Mathematics, ETH Zurich, Zurich, Switzerland · Department of Computer Science, ETH Zurich, Zurich, Switzerland