A globally trust-region LP-Newton method for nonsmooth functions under the Hölder metric subregularity

We describe and analyse a globally convergent algorithm to find a possible nonisolated zero of a piecewise smooth mapping over a polyhedral set, such formulation includes Karush-Kuhn-Tucker (KKT) systems, variational inequalities problems, and generalized Nash equilibrium problems. Our algorithm is based on a modification of the fast locally convergent Linear Programming (LP)-Newton method with a … Read more

New quasi-Newton method for solving systems of nonlinear equations

In this report, we propose the new Broyden method for solving systems of nonlinear equations, which uses the first derivatives, but it is more efficient than the Newton method (measured by the computational time) for larger dense systems. The new method updates QR decompositions of nonsymmetric approximations of the Jacobian matrix, so it requires $O(n^2)$ … Read more

Optimal Deterministic Algorithm Generation

A formulation for the automated generation of algorithms via mathematical programming (optimization) is proposed. The formulation is based on the concept of optimizing within a parameterized family of algorithms, or equivalently a family of functions describing the algorithmic steps. The optimization variables are the parameters – within this family of algorithms- that encode algorithm design: … Read more

Solution of Nonlinear Equations via Optimization

This paper presents four optimization models for solving nonlinear equation systems. The models accommodate both over-specified and under-specified systems. A variable endogenization technique that improves efficiency is introduced, and a basic comparative study shows one of the methods presented to be very effective. Citation Siwale, I. (2013). Solution of nonlinear equation systems via optimization. Technical … Read more

A sufficiently exact inexact Newton step based on reusing matrix information

Newton’s method is a classical method for solving a nonlinear equation $F(z)=0$. We derive inexact Newton steps that lead to an inexact Newton method, applicable near a solution. The method is based on solving for a particular $F'(z_{k’})$ during $p$ consecutive iterations $k=k’,k’+1,\dots,k’+p-1$. One such $p$-cycle requires $2^p-1$ solves with the matrix $F'(z_{k’})$. If matrix … Read more

Adjoint Broyden a la GMRES

It is shown that a compact storage implementation of a quasi-Newton method based on the adjoint Broyden update reduces in the affine case exactly to the well established GMRES procedure. Generally, storage and linear algebra effort per step are small multiples of n k, where n is the number of variables and k the number … Read more

An Accelerated Newton Method for Equations with Semismooth Jacobians and Nonlinear Complementarity Problems: Extended Version

We discuss local convergence of Newton’s method to a singular solution $x^*$ of the nonlinear equations $F(x) = 0$, for $F:\R^n \rightarrow \R^n$. It is shown that an existing proof of Griewank, concerning linear convergence to a singular solution $x^*$ from a starlike domain around $x^*$ for $F$ twice Lipschitz continuously differentiable and $x^*$ satisfying … Read more