Abstract

A classical model of Newton iterations which takes into account some error terms is given by the quasi-Newton method, which assumes perturbed Jacobians at each step. Its high q-convergence orders were characterized by Dennis and Moré [Math. Comp. 28 (1974), 549-560].

The inexact Newton method constitutes another such model, since it assumes that at each step the linear systems are only approximately solved; the high q-convergence orders of these iterations were characterized by Dembo, Eisenstat and Steihaug [SIAM J. Numer. Anal. 19 (1982), 400-408].

We have recently considered the inexact perturbed Newton method [J. Optim. Theory Appl. 108 (2001), 543-570] which assumes that at each step the linear systems are perturbed and then they are only approximately solved; we have characterized the high q-convergence orders of these iterates in terms of the perturbations and residuals.

In the present paper we show that these three models are in fact equivalent, in the sense that each one may be used to characterize the high q-convergence orders of the other two. We also study the relationship in the case of linear convergence and we deduce a new convergence result.

Authors

Emil Cătinaş
(Tiberiu Popoviciu Institute of Numerical Analysis, Romanian Academy)

Keywords

nonlinear system of equations in Rn; inexact Newton method; perturbed Newton method; quasi-Newton methods; linear systems of equation in Rn; backward errors; GMRES; GMBACK; MINPERT; Newton-Krylov methods; residual; local convergence; convergence order.

Cite this paper as:

E. Cătinaş, The inexact, inexact perturbed and quasi-Newton methods are equivalent models, Math. Comp., 74 (2005) no. 249, pp. 291-301
doi: 10.1090/S0025-5718-04-01646-1

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Paper (preprint) in HTML form

THE INEXACT, INEXACT PERTURBED, AND QUASI-NEWTON METHODS ARE EQUIVALENT MODELS

EMIL CĂTINAŞ
Abstract

A classical model of Newton iterations which takes into account some error terms is given by the quasi-Newton method, which assumes perturbed Jacobians at each step. Its high convergence orders were characterized by Dennis and Moré [Math. Comp. 28 (1974), 549-560]. The inexact Newton method constitutes another such model, since it assumes that at each step the linear systems are only approximately solved; the high convergence orders of these iterations were characterized by Dembo, Eisenstat and Steihaug [SIAM J. Numer. Anal. 19 (1982), 400-408]. We have recently considered the inexact perturbed Newton method [J. Optim. Theory Appl. 108 (2001), 543-570] which assumes that at each step the linear systems are perturbed and then they are only approximately solved; we have characterized the high convergence orders of these iterates in terms of the perturbations and residuals.
In the present paper we show that these three models are in fact equivalent, in the sense that each one may be used to characterize the high convergence orders of the other two. We also study the relationship in the case of linear convergence and we deduce a new convergence result.

1. Introduction

Consider a nonlinear system F(x)=0F(x)=0, where F:DnnF:D\subseteq\mathbb{R}^{n}\rightarrow\mathbb{R}^{n}. The local convergence of the Newton iterates

F(xk)sk=F(xk)\displaystyle F^{\prime}\left(x_{k}\right)s_{k}=-F\left(x_{k}\right)
xk+1=xk+sk,k=0,1,,x0D\displaystyle x_{k+1}=x_{k}+s_{k},\quad k=0,1,\ldots,\quad x_{0}\in D

to a solution xintDx^{*}\in\operatorname{int}D is usually studied under the following conditions, which will be implicitly assumed throughout this paper:

  • the mapping FF is Fréchet differentiable on intD\operatorname{int}D, with FF^{\prime} continuous at xx^{*};

  • the Jacobian F(x)F^{\prime}\left(x^{*}\right) is invertible.

Given an arbitrary norm \|\cdot\| on n\mathbb{R}^{n}, these hypotheses assure the existence of a radius r>0r>0 such that the Newton iterates converge superlinearly to xx^{*} for any initial approximation x0x_{0} with x0x<r\left\|x_{0}-x^{*}\right\|<r [27, Th.10.2.2] (see also [33, Th.4.4]).

00footnotetext: Received by the editor July 23, 2001 and, in revised form, May 3, 2003.
2000 Mathematics Subject Classification. Primary 65H10.
Key words and phrases. Inexact, inexact perturbed and quasi-Newton methods, convergence orders. This research has been supported by the Romanian Academy under grant GAR 97/1999, and by the National Agency for Science, Technology and Innovation under grant GANSTI 6100 GR/2000.

Recall that an arbitrary sequence (xk)k0n\left(x_{k}\right)_{k\geq 0}\subset\mathbb{R}^{n} is said to converge qq-superlinearly (superlinearly, for short) to its limit x¯n\bar{x}\in\mathbb{R}^{n} if

Q1{xk}:=lim supkxk+1x¯xkx¯=0,( assuming xkx¯ for all kk0)Q_{1}\left\{x_{k}\right\}:=\limsup_{k\rightarrow\infty}\frac{\left\|x_{k+1}-\bar{x}\right\|}{\left\|x_{k}-\bar{x}\right\|}=0,\quad\left(\text{ assuming }x_{k}\neq\bar{x}\text{ for all }k\geq k_{0}\right) (1.1)

also denoted by xk+1x¯=o(xkx¯)\left\|x_{k+1}-\bar{x}\right\|=o\left(\left\|x_{k}-\bar{x}\right\|\right), as kk\rightarrow\infty. For rigorous definitions and results concerning the high convergence orders, we refer the reader to [27, ch.9] and 31 (see also [33, ch.3] and 32]).

However, in many situations, different elements from the Newton iterations are only approximately determined. The first such case considers approximate Jacobians at each step, and leads to the quasi-Newton (QN) iterates

Bksk=F(xk),\displaystyle B_{k}s_{k}=-F\left(x_{k}\right),
xk+1=xk+sk,k=0,1,,x0D.\displaystyle x_{k+1}=x_{k}+s_{k},\quad k=0,1,\ldots,\quad x_{0}\in D.

There exist a number of studies dealing with the approximation of F(xk)F^{\prime}\left(x_{k}\right) by various techniques (see for instance [27, [15], 23], 33 and the references therein). The superlinear convergence of these sequences was characterized by Dennis and Moré. We state here a slightly weaker form of this result.

Theorem 1 ( [13][13] ). Consider a sequence (Bk)k0n×n\left(B_{k}\right)_{k\geq 0}\subset\mathbb{R}^{n\times n} of invertible matrices and an initial approximation x0Dx_{0}\in D. If the QN iterates converge to xx^{*}, then they converge superlinearly if and only if

(BkF(x))(xk+1xk)xk+1xk0 as k\frac{\left\|\left(B_{k}-F^{\prime}\left(x^{*}\right)\right)\left(x_{k+1}-x_{k}\right)\right\|}{\left\|x_{k+1}-x_{k}\right\|}\rightarrow 0\quad\text{ as }k\rightarrow\infty (1.2)

Another practical model of Newton iterates assumes that the linear systems from each step are not solved exactly:

F(xk)sk=F(xk)+rk\displaystyle F^{\prime}\left(x_{k}\right)s_{k}=-F\left(x_{k}\right)+r_{k}
xk+1=xk+sk,k=0,1,,x0D\displaystyle x_{k+1}=x_{k}+s_{k},\quad k=0,1,\ldots,\quad x_{0}\in D

The terms rknr_{k}\in\mathbb{R}^{n} represent the residuals of the approximate solutions sks_{k}. Dembo, Eisenstat and Steihaug characterized the superlinear convergence of the inexact Newton (IN) method above.

Theorem 2([12¯])2([\underline{12}]). Assume that the IN iterates converge to xx^{*}. Then the convergence is superlinear if and only if

rk=o(F(xk)) as k\left\|r_{k}\right\|=o\left(\left\|F\left(x_{k}\right)\right\|\right)\quad\text{ as }k\rightarrow\infty (1.3)

They also obtained the following local convergence result.
Theorem 3 ([12]). Given ηkη¯<t<1,k=0,1,\eta_{k}\leq\bar{\eta}<t<1,k=0,1,\ldots, there exists ε>0\varepsilon>0 such that for any initial approximation x0x_{0} with x0xε\left\|x_{0}-x^{*}\right\|\leq\varepsilon, the sequence of the IN iterates (xk)k0\left(x_{k}\right)_{k\geq 0} satisfying

rkηkF(xk),k=0,1,\left\|r_{k}\right\|\leq\eta_{k}\left\|F\left(x_{k}\right)\right\|,\quad k=0,1,\ldots (1.4)

converges to xx^{*}. Moreover, the convergence is linear in the sense that

xk+1xtxkx,k=0,1,\left\|x_{k+1}-x^{*}\right\|_{*}\leq t\left\|x_{k}-x^{*}\right\|_{*},\quad k=0,1,\ldots (1.5)

where y=F(x)y\|y\|_{*}=\left\|F^{\prime}\left(x^{*}\right)y\right\|.

We have recently considered in [8] the inexact perturbed Newton (IPN) method

(F(xk)+Δk)sk=(F(xk)+δk)+r^k\displaystyle\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right)s_{k}=\left(-F\left(x_{k}\right)+\delta_{k}\right)+\hat{r}_{k}
xk+1=xk+sk,k=0,1,,x0D\displaystyle x_{k+1}=x_{k}+s_{k},\quad k=0,1,\ldots,\quad x_{0}\in D

where Δkn×n\Delta_{k}\in\mathbb{R}^{n\times n} represent perturbations to the Jacobians, δkn\delta_{k}\in\mathbb{R}^{n} perturbations to the function evaluations, while r^kn\hat{r}_{k}\in\mathbb{R}^{n} are the residuals of the approximate solutions sks_{k} of the perturbed linear systems (F(xk)+Δk)s=F(xk)+δk\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right)s=-F\left(x_{k}\right)+\delta_{k}.

We have obtained the following results 1
Theorem 4 ([8]). Assume that the IPN iterates are uniquely defined (i.e., the perturbations (Δk)k0\left(\Delta_{k}\right)_{k\geq 0} are such that the matrices F(xk)+ΔkF^{\prime}\left(x_{k}\right)+\Delta_{k} are invertible for k=0,1,k=0,1,\ldots ) and converge to xx^{*}. Then the convergence is superlinear if and only if
Δk(F(xk)+Δk)1F(xk)+(IΔk(F(xk)+Δk)1)(δk+r^k)=o(F(xk))\left\|\Delta_{k}\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right)^{-1}F\left(x_{k}\right)+\left(I-\Delta_{k}\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right)^{-1}\right)\left(\delta_{k}+\hat{r}_{k}\right)\right\|=o\left(\left\|F\left(x_{k}\right)\right\|\right), as kk\rightarrow\infty.
Theorem 5 ([8]). Given ηkη¯<t<1,k=0,1,\eta_{k}\leq\bar{\eta}<t<1,k=0,1,\ldots, there exists ε>0\varepsilon>0 such that if x0xε\left\|x_{0}-x^{*}\right\|\leq\varepsilon and the IPN iterates are uniquely defined, satisfying Δk(F(xk)+Δk)1F(xk)+(IΔk(F(xk)+Δk)1)(δk+r^k)ηkF(xk)\left\|\Delta_{k}\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right)^{-1}F\left(x_{k}\right)+\left(I-\Delta_{k}\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right)^{-1}\right)\left(\delta_{k}+\hat{r}_{k}\right)\right\|\leq\eta_{k}\left\|F\left(x_{k}\right)\right\|,
where k=0,1,k=0,1,\ldots, then these iterates converge to xx^{*} at the linear rate

xk+1xtxkx,k=0,1,\left\|x_{k+1}-x^{*}\right\|_{*}\leq t\left\|x_{k}-x^{*}\right\|_{*},\quad k=0,1,\ldots

The same conclusion holds if the above condition is replaced by

Δk(F(xk)+Δk)1\displaystyle\left\|\Delta_{k}\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right)^{-1}\right\| q1ηk and\displaystyle\leq q_{1}\eta_{k}\quad\text{ and }
δk+r^k\displaystyle\left\|\delta_{k}\right\|+\left\|\hat{r}_{k}\right\| q21+q1ηkF(xk), for k=0,1,\displaystyle\leq\frac{q_{2}}{1+q_{1}}\eta_{k}\left\|F\left(x_{k}\right)\right\|,\quad\text{ for }k=0,1,\ldots

where 0<q2<1q10<q_{2}<1-q_{1} and t(q1+q2,1)t\in\left(q_{1}+q_{2},1\right).
Remark 1. It is not difficult to prove that, in fact, the above theorem also holds with q1+q2=1q_{1}+q_{2}=1 and η¯<t<1\bar{\eta}<t<1 (instead of 0<q1+q2<t<10<q_{1}+q_{2}<t<1 ).

The aim of this paper is to perform an analysis of the three methods mentioned in order to reveal the natural connection between them. This will allow us to obtain sharp conditions ensuring the local convergence of the inexact perturbed, and quasi-Newton methods.

We shall show first that each one of the inexact, inexact perturbed, and quasiNewton methods may be used to characterize the high convergence orders of the other two. In this sense, we remark (see [8]) that the proofs of Theorems 4 and 5 were obtained by rewriting the IPN iterations as IN iterations having the residuals

rk=Δk(F(xk)+Δk)1F(xk)+(IΔk(F(xk)+Δk)1)(δk+r^k)r_{k}=\Delta_{k}\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right)^{-1}F\left(x_{k}\right)+\left(I-\Delta_{k}\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right)^{-1}\right)\left(\delta_{k}+\hat{r}_{k}\right)

and then applying Theorems 2 and 3, respectively. We also note that the IN model is a particular instance of the IPN model. These facts show the equivalence of these

00footnotetext: 1 We have recently noticed that Wilkinson [36] has previously considered the iterates xk+1=xk(F(xk)+Ek)1(F(xk)+ek)+gk,k=0,1,,x0Dx_{k+1}=x_{k}-\left(F^{\prime}\left(x_{k}\right)+E_{k}\right)^{-1}\left(F\left(x_{k}\right)+e_{k}\right)+g_{k},\quad k=0,1,\ldots,\quad x_{0}\in D very similar to the IPN ones, while Potra 29, 30 has considered some inexact perturbed secant iterates: xk+1=xk([xk1,xk;F]+Ek)1(F(xk)+ek)+gk,k=1,2,,x0,x1Dx_{k+1}=x_{k}-\left(\left[x_{k-1},x_{k};F\right]+E_{k}\right)^{-1}\left(F\left(x_{k}\right)+e_{k}\right)+g_{k},\quad k=1,2,\ldots,\quad x_{0},x_{1}\in D where [x,y;F][x,y;F] represents the first order divided difference of FF on xx and yy. However, these authors have not dealt with the local convergence of these iterates.

two models regarding their linear and superlinear convergence; the same connection appears in fact for the convergence orders 1+p,p(0,1]1+p,p\in(0,1], under supplementary Hölder continuity conditions on FF^{\prime} at xx^{*}.

It remains therefore to analyze the connection between the inexact and the quasiNewton iterations. This will be done in the following section, while in 3\oint 3 we shall give a new local linear convergence result and relate some existing ones.

2. Superlinear convergence of inexact and quasi-Newton methods

We begin this section by presenting some auxiliary results.
Walker has shown that the convergence of an arbitrary sequence from n\mathbb{R}^{n} is tightly connected to the convergence of its corrections.

Lemma 1 ([35]. Consider an arbitrary sequence (xk)k0n\left(x_{k}\right)_{k\geq 0}\subset\mathbb{R}^{n} converging to some element x¯n\bar{x}\in\mathbb{R}^{n}. Then the convergence is superlinear if and only if the corrections (xk+1xk)k0\left(x_{k+1}-x_{k}\right)_{k\geq 0} converge superlinearly to zero. In case of superlinear convergence it follows that

limkxkx¯xk+1xk=1\lim_{k\rightarrow\infty}\frac{\left\|x_{k}-\bar{x}\right\|}{\left\|x_{k+1}-x_{k}\right\|}=1

The last affirmation of this lemma was known for a longer time (see [13]).
The following result was given by Dembo, Eisenstat and Steihaug2
Lemma 2 ([12]). Let β=F(x)1\beta=\left\|F^{\prime}\left(x^{*}\right)^{-1}\right\| and α=max{F(x)+12β,2β}\alpha=\max\left\{\left\|F^{\prime}\left(x^{*}\right)\right\|+\frac{1}{2\beta},2\beta\right\}. Then there exists ε>0\varepsilon>0 such that

1αxxF(x)αxx, when xx<ε.\frac{1}{\alpha}\left\|x-x^{*}\right\|\leq\|F(x)\|\leq\alpha\left\|x-x^{*}\right\|,\quad\text{ when }\left\|x-x^{*}\right\|<\varepsilon.

Before stating our results, denote Δk=BkF(xk)\Delta_{k}=B_{k}-F^{\prime}\left(x_{k}\right); the quasi-Newton iterates are transcribed as

(F(xk)+Δk)sk=F(xk)\displaystyle\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right)s_{k}=-F\left(x_{k}\right)
xk+1=xk+sk,k=0,1,,x0D\displaystyle x_{k+1}=x_{k}+s_{k},\quad k=0,1,\ldots,\quad x_{0}\in D

and condition (1.2) characterizing their superlinear convergence becomes

(F(xk)+ΔkF(x))sk=o(sk) as k\left\|\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}-F^{\prime}\left(x^{*}\right)\right)s_{k}\right\|=o\left(\left\|s_{k}\right\|\right)\quad\text{ as }k\rightarrow\infty (2.1)

Now we are able to present the results relating the superlinear convergence of the IN and QN methods. First, we shall regard the QN iterates as IN iterates:

F(xk)sk=F(xk)Δksk,k=0,1,,x0DF^{\prime}\left(x_{k}\right)s_{k}=-F\left(x_{k}\right)-\Delta_{k}s_{k},\quad k=0,1,\ldots,\quad x_{0}\in D

condition (1.3) characterizing their superlinear convergence becomes

Δksk=o(F(xk)) as k\left\|\Delta_{k}s_{k}\right\|=o\left(\left\|F\left(x_{k}\right)\right\|\right)\quad\text{ as }k\rightarrow\infty (2.2)

The first step is accomplished by the following result.
Theorem 6. Conditions (2.1) and (2.2) are equivalent.
Proof. Some obvious reasons show that (2.1) holds iff

Δksk=o(sk) as k\left\|\Delta_{k}s_{k}\right\|=o\left(\left\|s_{k}\right\|\right)\quad\text{ as }k\rightarrow\infty

Lemmas 1 and 2/show that the sequences (xkx)k0,(sk)k0\left(x_{k}-x^{*}\right)_{k\geq 0},\left(s_{k}\right)_{k\geq 0}, and (F(xk))k0\left(F\left(x_{k}\right)\right)_{k\geq 0} converge superlinearly to zero only at the same time, which ends the proof.

00footnotetext: 2 A more general form of this lemma was previously obtained by Dennis and Schnabel 15 Lm.4.1.16]; other variants may be found in [23, Lm.5.2.1], [18] and [33, Th.4.2].

Remark 2. As noticed in [14], condition Δk0\Delta_{k}\rightarrow 0, as kk\rightarrow\infty, is sufficient but not also necessary for (2.2) to hold.

Formulas (2.1) and (2.2) do not explicitly require the invertibility of the perturbed Jacobians at each step. Consequently, one may restate Theorem 1 by demanding the corresponding iterates only to be well defined; i.e., the linear systems (F(xk)+Δk)s=F(xk)\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right)s=-F\left(x_{k}\right) to be compatible. In this sense, Theorem 1 (as well as, in fact, Theorem 2) can be retrieved from the following extension of Theorem 4

Theorem 7. Assume that the IPN iterates are well defined and converge to xx^{*}. Then the convergence is superlinear if and only if

Δksk+δk+r^k=o(F(xk)) as k\left\|-\Delta_{k}s_{k}+\delta_{k}+\hat{r}_{k}\right\|=o\left(\left\|F\left(x_{k}\right)\right\|\right)\quad\text{ as }k\rightarrow\infty (2.3)

Proof. One may use Theorem 2 in a straightforward manner by writing the IPN iterates as IN iterates with residuals rk=Δksk+δk+r^kr_{k}=-\Delta_{k}s_{k}+\delta_{k}+\hat{r}_{k}.

The utility of this result comes out for example when analyzing the local convergence of the two Newton-Krylov methods described below.

Example 1. a) Given a linear system Ax=b,An×nAx=b,A\in\mathbb{R}^{n\times n} nonsingular, bnb\in\mathbb{R}^{n}, an arbitrary initial approximation x0x_{0} to the solution of this linear system, and denoting r0=bAx0r_{0}=b-Ax_{0}, the GMBACK solver 21 determines an approximation xmGBx0+𝒦m=x0+span{r0,Ar0,,Am1r0}x_{m}^{GB}\in x_{0}+\mathcal{K}_{m}=x_{0}+\operatorname{span}\left\{r_{0},Ar_{0},\ldots,A^{m-1}r_{0}\right\} by the minimization problem 3

ΔmGBF=minxmx0+𝒦mΔmF w.r.t. (AΔm)xm=b\left\|\Delta_{m}^{GB}\right\|_{F}=\min_{x_{m}\in x_{0}+\mathcal{K}_{m}}\left\|\Delta_{m}\right\|_{F}\quad\text{ w.r.t. }\left(A-\Delta_{m}\right)x_{m}=b

As with all the Krylov solvers, the method is advantageous when good approximations are obtained for small subspace dimensions m{1,,n},nm\in\{1,\ldots,n\},n being supposed large. Depending on the parameters, the problem may have no solution at all, a unique solution xmGBx_{m}^{GB}, or several (at most mm ) solutions. In the first case the algorithm may be continued either by increasing mm or by restarting with a different x0x_{0}. In the second case the matrix AΔmGBA-\Delta_{m}^{GB} is invertible, while in the third case this matrix is not invertible, but the linear system (AΔmGB)x=b\left(A-\Delta_{m}^{GB}\right)x=b is still compatible.

The superlinear convergence of the Newton-GMBACK iterates written as

(F(xk)Δk,mkGB)sk,mkGB=F(xk),\displaystyle\left(F^{\prime}\left(x_{k}\right)-\Delta_{k,m_{k}}^{GB}\right)s_{k,m_{k}}^{GB}=-F\left(x_{k}\right),
xk+1=xk+sk,mkGB,k=0,1,,\displaystyle x_{k+1}=x_{k}+s_{k,m_{k}}^{GB},\quad k=0,1,\ldots,

may therefore be characterized by Theorem 7, taking Δk=Δk,mkGB\Delta_{k}=-\Delta_{k,m_{k}}^{GB} and δk=r^k=\delta_{k}=\hat{r}_{k}= 0 , since if the iterates converge we do not mind if they are not uniquely defined.

Apart from theoretical interest, the use of the QN model for these iterations is worth considering also from the computational standpoint, when the residuals are expensive to evaluate. Indeed, according to Remark 2, condition Δk,mkGB0\left\|\Delta_{k,m_{k}}^{GB}\right\|\rightarrow 0 as kk\rightarrow\infty is sufficient for the converging Newton-GMBACK iterates to attain superlinear rate (see also [8]). This provides an alternative in controlling the convergence rate of the above method, since the magnitude of ΔmGB\Delta_{m}^{GB} may be estimated by computing the smallest eigenvalue of a generalized eigenproblem of (low) dimension m+1m+1, during the same process of determining xmGBx_{m}^{GB}.

00footnotetext: 3 We shall use F\|\cdot\|_{F} to denote the Frobenius norm of a matrix, ZF=tr(ZZt)1/2\|Z\|_{F}=\operatorname{tr}\left(ZZ^{t}\right)^{1/2}, and 2\|\cdot\|_{2} to denote the Euclidean norm from n\mathbb{R}^{n} and its induced operator norm.

b) The other Krylov solver we mention is the MINPERT method 22, which minimizes the joint backward error [Δmδm]n×(n+1)\left[\Delta_{m}\delta_{m}\right]\in\mathbb{R}^{n\times(n+1)} :

[ΔmMPδmMP]F=minxmx0+𝒦m[Δmδm]F w.r.t. (AΔm)xm=b+δm\left\|\left[\Delta_{m}^{MP}\delta_{m}^{MP}\right]\right\|_{F}=\min_{x_{m}\in x_{0}+\mathcal{K}_{m}}\left\|\left[\Delta_{m}\delta_{m}\right]\right\|_{F}\quad\text{ w.r.t. }\left(A-\Delta_{m}\right)x_{m}=b+\delta_{m}

Theorem 7 is again the choice for characterizing the superlinear rate of the Newton-MINPERT iterations when framed in the perturbed Newton method

(F(xk)Δk,mkMP)sk,mkMP=F(xk)+δk,mkMP\displaystyle\left(F^{\prime}\left(x_{k}\right)-\Delta_{k,m_{k}}^{MP}\right)s_{k,m_{k}}^{MP}=-F\left(x_{k}\right)+\delta_{k,m_{k}}^{MP}
xk+1=xk+sk,mkMP,k=0,1,\displaystyle x_{k+1}=x_{k}+s_{k,m_{k}}^{MP},\quad k=0,1,\ldots

with the remark that the convergence of these iterates may be characterized by eigenvalues computed in the inner steps (see 8).

Returning to the analysis of the IN and QN methods, it remains to write the IN as QN iterates. We get

(F(xk)1sk22rkskt)sk=F(xk),k=0,1,\left(F^{\prime}\left(x_{k}\right)-\frac{1}{\left\|s_{k}\right\|_{2}^{2}}r_{k}s_{k}^{t}\right)s_{k}=-F\left(x_{k}\right),\quad k=0,1,\ldots

condition (2.1) characterizing their superlinear convergence being transcribed as

(F(xk)1sk22rksktF(x))sk=o(sk) as k\left\|\left(F^{\prime}\left(x_{k}\right)-\frac{1}{\left\|s_{k}\right\|_{2}^{2}}r_{k}s_{k}^{t}-F^{\prime}\left(x^{*}\right)\right)s_{k}\right\|=o\left(\left\|s_{k}\right\|\right)\quad\text{ as }k\rightarrow\infty (2.4)

The equivalence of the QN and IN models is completed by the following result, which again has a straightforward proof.

Theorem 8. Conditions (1.3) and (2.4) are equivalent.
Remark 3. a) In case of superlinear convergence of the IN iterates, the invertibility of the matrices F(xk)(1/sk22)rksktF^{\prime}\left(x_{k}\right)-\left(1/\left\|s_{k}\right\|_{2}^{2}\right)\cdot r_{k}s_{k}^{t} is automatically satisfied from a certain step. Indeed, since

rkskt2=rk2sk2\left\|r_{k}s_{k}^{t}\right\|_{2}=\left\|r_{k}\right\|_{2}\left\|s_{k}\right\|_{2}

(see [20, P.2.3.9]), some standard arguments show that the assumptions on the mapping FF assure the stated property.
b) Condition (1.3) appeared in a natural way in characterizing the convergence orders of the IN iterates; it is especially suitable for example in the case of the standard Newton-GMRES method, when the norms of the residuals may be cheaply computed at each inner step m=1,2,,m¯,m¯{1,,n}m=1,2,\ldots,\bar{m},\bar{m}\in\{1,\ldots,n\}, without the cost of forming the actual corrections [34. However, in some situations this condition may require unnecessarily small residuals (oversolving), as reported in several papers (see, e.g., [18]).

According to Lemmas 1 and 2, the sequences (xkx)k0,(xk+1xk)k0\left(x_{k}-x^{*}\right)_{k\geq 0},\left(x_{k+1}-x_{k}\right)_{k\geq 0}, and (F(xk))k0\left(F\left(x_{k}\right)\right)_{k\geq 0} converge superlinearly to zero only at the same time, and therefore one may devise some combinations to use instead of (1.3). We mention the following condition, which characterizes the quadratic convergence of the IN iterations:

rkF(xk)+sk=𝒪(F(xk)) as k\frac{\left\|r_{k}\right\|}{\left\|F\left(x_{k}\right)\right\|+\left\|s_{k}\right\|}=\mathcal{O}\left(\left\|F\left(x_{k}\right)\right\|\right)\quad\text{ as }k\rightarrow\infty

It emerged naturally by backward error analysis [7], and it clearly shows that the oversolving does not appear when the corrections are sufficiently large. We intend to analyze the controlling of the convergence orders in a future work.

3. Local linear convergence of the IPN method

Morini [26] and Gasparo and Morini [19] have obtained some local linear convergence results for the iterates

(F(xk)+Δk)sk=F(xk)+r^k\displaystyle\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right)s_{k}=-F\left(x_{k}\right)+\hat{r}_{k} (3.1)
xk+1=xk+sk,k=0,1,\displaystyle x_{k+1}=x_{k}+s_{k},\quad k=0,1,\ldots

We shall relate them with Theorem 5, but in its special instances for the QN and IN sequences.

We notice first that, similarly to Theorem 7 one may easily prove the following result.

Theorem 9. Given ηkη¯<t<1,k=0,1,\eta_{k}\leq\bar{\eta}<t<1,k=0,1,\ldots, there exists ε>0\varepsilon>0 such that for any initial approximation x0x_{0} with x0xε\left\|x_{0}-x^{*}\right\|\leq\varepsilon, if the IPN iterates (xk)k0\left(x_{k}\right)_{k\geq 0} are well defined and satisfy

Δksk+δk+r^kηkF(xk),k=0,1,,\left\|-\Delta_{k}s_{k}+\delta_{k}+\hat{r}_{k}\right\|\leq\eta_{k}\left\|F\left(x_{k}\right)\right\|,\quad k=0,1,\ldots, (3.2)

then they converge to xx^{*} and obey

xk+1xtxkx,k=0,1,\left\|x_{k+1}-x^{*}\right\|_{*}\leq t\left\|x_{k}-x^{*}\right\|_{*},\quad k=0,1,\ldots

Since condition (1.4) is known to be sharp for ensuring the local convergence of the IN iterates, the same property follows for (3.2) concerning the IPN method.

We may also obtain the sharp condition regarding the QN model by taking δk=r^k=0\delta_{k}=\hat{r}_{k}=0 in (3.2). When the QN iterates are uniquely defined, Theorem 5 yields another sufficient condition for convergence (by Remark 1, we took q1=1q_{1}=1 ),

Δk(F(xk)+Δk)1ηk,k=0,1,,\left\|\Delta_{k}\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right)^{-1}\right\|\leq\eta_{k},\quad k=0,1,\ldots, (3.3)

which is not always sharp since it is deduced using an estimate of the form AvAv\|Av\|\leq\|A\|\|v\|.

There exist few local linear convergence results for the QN method in the literature, despite the frequent use of this model. A first result was obtained by Ortega and Rheinboldt [27, p.311], who considered a mapping B:Dn×nB:D\rightarrow\mathbb{R}^{n\times n} and

xk+1=xkB(xk)1F(xk),k=0,1,x_{k+1}=x_{k}-B\left(x_{k}\right)^{-1}F\left(x_{k}\right),\quad k=0,1,\ldots

The local linear convergence result for the above sequence is followed by the Ostrowski attraction fixed point theorem, under the strong basic assumption that BB is continuous at xx^{*} and, moreover,

ρ(IB(x)1F(x))<1,\rho\left(I-B\left(x^{*}\right)^{-1}F^{\prime}\left(x^{*}\right)\right)<1,

where ρ(A)=max{|λ|:λ,λ\rho(A)=\max\{|\lambda|:\lambda\in\mathbb{C},\lambda eigenvalue of A}A\} denotes the spectral radius of AA. In our notation, the above condition becomes

ρ((F(x)+Δ(x))1Δ(x))<1\rho\left(\left(F^{\prime}\left(x^{*}\right)+\Delta\left(x^{*}\right)\right)^{-1}\Delta\left(x^{*}\right)\right)<1

and is implied, for example, when (F(x)+Δ(x))1Δ(x)<1\left\|\left(F^{\prime}\left(x^{*}\right)+\Delta\left(x^{*}\right)\right)^{-1}\Delta\left(x^{*}\right)\right\|<1.
Other results we are aware of can be retrieved from those in [26] and [19], as we shall see in the following. In these papers conditions were assumed of the form Pkr^kθkPkF(xk),k=0,1,\left\|P_{k}\hat{r}_{k}\right\|\leq\theta_{k}\left\|P_{k}F\left(x_{k}\right)\right\|,k=0,1,\ldots. The invertible matrices PkP_{k} arise in the context of preconditioning strategies for solving linear systems. We shall consider here the case Pk=I,k=0,1,P_{k}=I,k=0,1,\ldots, in order to be able to relate with the previous results. We recall that the condition number of An×nA\in\mathbb{R}^{n\times n} in norm \|\cdot\| is given
by cond(A)=AA1\operatorname{cond}(A)=\|A\|\cdot\left\|A^{-1}\right\|. The mapping FF was assumed to belong to the class (ω,Λ)\mathcal{F}\left(\omega,\Lambda^{*}\right), i.e., obeying the following additional assumptions:

  • the set DD (on which FF is defined) is open;

  • the derivative FF^{\prime} is continuous on DD;

  • the solution xx^{*} is unique in the ball B¯ω(x)={xn:xxω}\bar{B}_{\omega}\left(x^{*}\right)=\left\{x\in\mathbb{R}^{n}:\left\|x-x^{*}\right\|\leq\omega\right\} and B¯ω(x)D\bar{B}_{\omega}\left(x^{*}\right)\subseteq D;

  • for all x,yB¯ω(x)x,y\in\bar{B}_{\omega}\left(x^{*}\right) one has

F(x)1(F(y)F(x))Λyx\left\|F^{\prime}\left(x^{*}\right)^{-1}\left(F^{\prime}(y)-F^{\prime}(x)\right)\right\|\leq\Lambda^{*}\|y-x\|\text{. }

These hypotheses implied the existence of σ<min{ω,1/Λ}\sigma<\min\left\{\omega,1/\Lambda^{*}\right\} such that F(x)F^{\prime}(x) is invertible for all xB¯=B¯σ(x)x\in\bar{B}=\bar{B}_{\sigma}\left(x^{*}\right) and

F(x)1(F(y)F(x))Λyx,\left\|F^{\prime}(x)^{-1}\left(F^{\prime}(y)-F^{\prime}(x)\right)\right\|\leq\Lambda\|y-x\|,

where Λ=Λ/(1Λσ)\Lambda=\Lambda^{*}/\left(1-\Lambda^{*}\sigma\right).
The following result was obtained.
Theorem 10 ([26]). Let the approximations F(x)+Δ(x)F^{\prime}(x)+\Delta(x) to F(x)F^{\prime}(x) be invertible and satisfy for all xB¯x\in\bar{B} the properties

(F(x)+Δ(x))1Δ(x)τ1\displaystyle\left\|\left(F^{\prime}(x)+\Delta(x)\right)^{-1}\Delta(x)\right\|\leq\tau_{1} (3.4)
(F(x)+Δ(x))1F(x)τ2\displaystyle\left\|\left(F^{\prime}(x)+\Delta(x)\right)^{-1}F^{\prime}(x)\right\|\leq\tau_{2}

Let F(ω,Λ),x0xδF\in\mathcal{F}\left(\omega,\Lambda^{*}\right),\left\|x_{0}-x^{*}\right\|\leq\delta, denote νk=θk\nu_{k}=\theta_{k} cond (F(xk)+Δk)\left(F^{\prime}\left(x_{k}\right)+\Delta_{k}\right), with νkν¯<ν\nu_{k}\leq\bar{\nu}<\nu. If

α=ρ(ρ+τ1+ντ2)+τ1+ντ2<1\alpha=\rho\left(\rho+\tau_{1}+\nu\tau_{2}\right)+\tau_{1}+\nu\tau_{2}<1

where ρ=12Λδ(1+ν)τ2\rho=\frac{1}{2}\Lambda\delta(1+\nu)\tau_{2}, then the sequence (xk)k0\left(x_{k}\right)_{k\geq 0} given by (3.1) and obeying r^kθkF(xk),k=0,1,\left\|\hat{r}_{k}\right\|\leq\theta_{k}\left\|F\left(x_{k}\right)\right\|,k=0,1,\ldots, is uniquely defined and converges to xx^{*}, with

xk+1x(τ1+ντ2)xkx, for all k sufficiently large. \left\|x_{k+1}-x^{*}\right\|\leq\left(\tau_{1}+\nu\tau_{2}\right)\left\|x_{k}-x^{*}\right\|,\quad\text{ for all }k\text{ sufficiently large. }

For the case of the quasi-Newton iterates we take ν=0\nu=0 in the above theorem, being lead to relation

xk+1xxkxτ1, for all k sufficiently large, \frac{\left\|x_{k+1}-x^{*}\right\|}{\left\|x_{k}-x^{*}\right\|}\leq\tau_{1},\quad\text{ for all }k\text{ sufficiently large, } (3.5)

while conditions (3.3) imply the convergence rate (1.5), which can be estimated in norm \|\cdot\| by

xk+1xxkxtcond(F(x)),k=0,1,\frac{\left\|x_{k+1}-x^{*}\right\|}{\left\|x_{k}-x^{*}\right\|}\leq t\operatorname{cond}\left(F^{\prime}\left(x^{*}\right)\right),\quad k=0,1,\ldots (3.6)

Though assumptions (3.4) and (3.3) seem to be somehow similar, the above estimated upper bound appears to be larger than the one in (3.5).

For the IN iterates we take τ1=0\tau_{1}=0 and τ2=1\tau_{2}=1 in Theorem 10, and denoting θ¯=lim supkθk\bar{\theta}=\limsup_{k\rightarrow\infty}\theta_{k} one gets the following upper bound for the qq-factor defined in (1.1):

Q1{xk}=lim supkxk+1xxkxθ¯cond(F(x))Q_{1}\left\{x_{k}\right\}=\limsup_{k\rightarrow\infty}\frac{\left\|x_{k+1}-x^{*}\right\|}{\left\|x_{k}-x^{*}\right\|}\leq\bar{\theta}\operatorname{cond}\left(F^{\prime}\left(x^{*}\right)\right)

Theorem 3 attracts (3.6), and since t(η¯,1)t\in(\bar{\eta},1) is arbitrary, we arrive at a similar bound: Q1{xk}η¯cond(F(x))Q_{1}\left\{x_{k}\right\}\leq\bar{\eta}\operatorname{cond}\left(F^{\prime}\left(x^{*}\right)\right). However, the assumptions θkcond(F(xk))ν¯<ν<α<1\theta_{k}\operatorname{cond}\left(F^{\prime}\left(x_{k}\right)\right)\leq\bar{\nu}<\nu<\alpha<1 in Theorem 10 are obviously stronger than ηkη¯<t<1\eta_{k}\leq\bar{\eta}<t<1.

The results in [19] show somehow similar bounds for Q1{xk}Q_{1}\left\{x_{k}\right\}, and again explicit inverse proportionality between the condition numbers of F(xk)+ΔkF^{\prime}\left(x_{k}\right)+\Delta_{k} and the
forcing terms θk\theta_{k}, but under weaker smoothness assumptions on FF^{\prime} (more exactly, requiring only continuity, and not also the Lipschitz-type condition involving the constant Λ\Lambda^{*} ).

The following aspects are known to occur in practical applications, when the condition numbers are large. First, linear convergence in norm \|\cdot\|_{*} does not necessarily attract linear convergence (or linear convergence with sufficiently good rate) in norm \|\cdot\|, required in certain problems. Second, the excessively small residuals required to ensure good convergence properties affect the overall efficiency of the method (by additional inner iterates in solving the linear systems).

The results in 26 and 19 show that the use of preconditioners reducing the condition numbers allow larger forcing terms. Another important feature is that the condition number involved is not of the Jacobian at the solution (which is not known) but of the Jacobian (or preconditioned perturbed Jacobian) at the current approximation. The estimators of the condition numbers bring the practical utility of these results.

Conclusions

We have proved that the inexact, the inexact perturbed and the quasi-Newton methods are related in a natural way: the conditions for characterizing their high convergence orders remain invariant under reconsidering the source(s) of the error terms. This approach allowed us to obtain a new convergence result, but it also shows that any property specific to one model of perturbed Newton method may now be transcribed to the other models. For example, the affine invariant conditions for the Newton and the inexact Newton methods (see [16], [17, 37] and [26]) may be considered for the inexact perturbed and the quasi-Newton methods.

Another example of transposing a class of iterations in a different frame can be found in [9], where the successive approximations for smooth iteration mappings were regarded as IN sequences, and the Ostrowski attraction fixed point theorem was refined by characterizing the fast convergent trajectories. This approach is full of potential for further developments, and we should mention, for instance, the obtaining of estimates for the radius of the attraction balls.

Acknowledgment. The author would like to thank an anonymous referee for careful reading of the manuscript and for useful suggestions.

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Romanian Academy, "T. Popoviciu" Institute of Numerical Analysis, P. O. Box 68-1, Cluj-Napoca 3400, Romania

E-mail address: ecatinas@ictp.acad.ro

2005

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