A potential disadvantage of gradient-based methods is that they head for the nearest minimum, which is usually not the global minimum.
This means that the only difference between these search methods is the speed with which solutions are obtained, and not the nature of those solutions.
An important consideration is time complexity, which is the rate at which the time required to find a solution increases with the number of parameters (weights). In short, the time complexities of a range of different gradient-based methods (including second-order methods) seem to be similar.
Six different error functions exhibit a median run-time order of approximately O(N to the power 4) on the N-2-N encoder in this paper:
Lister, R and Stone J "An Empirical Study of the Time Complexity of Various Error Functions with Conjugate Gradient Back Propagation" , IEEE International Conference on Artificial Neural Networks (ICNN95), Perth, Australia, Nov 27-Dec 1, 1995.
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Summarised from my book: Artificial Intelligence Engines: A Tutorial Introduction to the Mathematics of Deep Learning
https://jim-stone.staff.shef.ac.uk/BookBayes2012/books_by_jv_stone/
Email: [email protected] Artificial Intelligence Engines: A Tutorial Introduction to the Mathematics of Deep Learning.uk