Second order methods for optimization call for the solution of sequences of linear systems. In this survey we will discuss several issues related to the preconditioning of such sequences. Covered topics include both techniques for building updates of factorized preconditioners and quasi-Newton approaches. Sequences of unsymmetric linear systems arising in Newton- Krylov methods will be considered as well as symmetric positive definite sequences arising in the solution of nonlinear least-squares by Truncated Gauss-Newton methods.
Citation
S. Bellavia, M. Porcelli, Preconditioning issues in the numerical solution of nonlinear equations and nonlinear least-squares , Pesquisa Operacional, 34:3 (2014), pp. 421-445.