3
$\begingroup$

I am aware that that there are a lot of methods known to solving a nonlinear system $\mathbf{f}(\mathbf{x})=0$, if $\mathbf{f}:\mathbb{R}^n\to\mathbb{R}^n$, assuming the Jacobian is non-singular. However, I am wondering what happens if $\mathbf{f}:\mathbb{R}^m\to\mathbb{R}^n$, with $m\neq n$. Of course, there can be infinitely solutions, or no solutions at all, but what are good numerical ways for solving such a system? I am aware that we can alter the Newton-Rhapson iteration by replacing $\mathbf{J}_f(\mathbf{x^k})^{-1}$, by its Moore-Penrose inverse. However, the following paper by Levin and Israel suggests generalizing this to arbitrary $\{2\}$-inverses. I am wondering what the numerical advantage of this higher generalization is, compared to the Moore-Penrose inverse. I don't see why it would reduce the computation time, since it computes and SVD of the Jaobian $\mathbf{J}_f(\mathbf{x}^k)$ anyway, so why would one not directly obtain the Moore-Penrose inverse, but construct the $\{2\}$-inverse $\Sigma^{(2)}$.

EDIT: I might think the construction of $\Sigma^{(2)}$ is beneficial if the singular values are small, preventing the emergence of enormous in the iteration. If the singular values are not very small, the $\Sigma^{(2)}$ matrix will be the Moore-Penrose inverse.

A NEWTON METHOD FOR SYSTEMS OF m EQUATIONS IN n VARIABLES

Another paper by the same authors suggests an inverse-free method for solving the system, by Newton's directional method. What advantage could this method have over the one described above, using the pseudo-inverses.

AN INVERSE-FREE DIRECTIONAL NEWTON METHOD FOR SOLVING SYSTEMS OF NONLINEAR EQUATIONS

As you might understand, I am getting a little bit lost in the different methods, and I am wondering if anyone could give me a good overview in which situation, which method can best be applied. Thanks in advance!

$\endgroup$
1
  • $\begingroup$ Nonlinear is extremely broad! If the equations are linear or polynomial, you have whole fields of study devoted to them — linear algebra and algebraic geometry, respectively. $\endgroup$ Nov 27 '20 at 17:18
1
$\begingroup$

I am not familiar with the first method involving $\Sigma^{(2)}$. It vaguely resembles Jacobi preconditioning on your singular values. Hopefully another answer can supplement this one.

The idea behind many approximate-inverse Newton-type algorithms (e.g. BFGS and the like) is the following: "Computing an SVD at every iteration is prohibitively expensive. Instead, let's just update our inverse Jacobian at every iteration using a Sherman-Morrison formula. This formula gives us the new approximate inverse on a silver platter, instead of requiring us to do an entire SVD computation."

There are some nice advantages in this sort of scheme:

  1. As long as your approximate inverse remains positive semidefinite, applying that approximate inverse to your gradient will guarantee you are still moving in a "descent" direction. This means that you don't need a perfect pseudoinverse to continue along using Newton's method.
  2. The Sherman-Morrison formula allows for much faster updating of approximate inverse. The only drawback is that your update must be rank-one (there are also rank-two generalizations as well). However, as per point (1) most folks think that is OK as long as you preserve positive-semidefiniteness
  3. Most of the theory of Newton's method still works for these sort of methods (e.g. there are analogues for local quadratic convergence, global convergence on convex functions, etc...) for these generalized Newton methods.
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.