Convergence and complexity analysis of a Levenberg-Marquardt algorithm for inverse problems

DOI10.1007/S10957-020-01666-1zbMATH Open1441.49028arXiv2004.03005OpenAlexW3024054958MaRDI QIDQ2188951FDOQ2188951

Vyacheslav Kungurtsev, El Houcine Bergou, Youssef Diouane

Publication date: 15 June 2020

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Abstract: The Levenberg-Marquardt algorithm is one of the most popular algorithms for finding the solution of nonlinear least squares problems. Across different modified variations of the basic procedure, the algorithm enjoys global convergence, a competitive worst case iteration complexity rate, and a guaranteed rate of local convergence for both zero and nonzero small residual problems, under suitable assumptions. We introduce a novel Levenberg-Marquardt method that matches, simultaneously, the state of the art in all of these convergence properties with a single seamless algorithm. Numerical experiments confirm the theoretical behavior of our proposed algorithm.

Full work available at URL: https://arxiv.org/abs/2004.03005

zbMATH Keywords

global convergenceinverse problemsLevenberg-Marquardt methodlocal convergenceworst-case complexity bound

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Abstract computational complexity for mathematical programming problems (90C60) Newton-type methods (49M15) Numerical methods based on necessary conditions (49M05)

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Cited In (16)

• Convergence of Levenberg-Marquardt method for the inverse problem with an interior measurement
• Levenberg-Marquardt method with singular scaling and applications
• Convergence analysis of a subsampled Levenberg-Marquardt algorithm
• A Nonmonotone Matrix-Free Algorithm for Nonlinear Equality-Constrained Least-Squares Problems
• A novel study on the MUSIC-type imaging of small electromagnetic inhomogeneities in the limited-aperture inverse scattering problem
• The Levenberg-Marquardt method: an overview of modern convergence theories and more
• A modified inexact Levenberg-Marquardt method with the descent property for solving nonlinear equations
• A robust method based on LOVO functions for solving least squares problems
• Convergent least-squares optimization methods for variational data assimilation
• Local convergence analysis of the Levenberg-Marquardt framework for nonzero-residue nonlinear least-squares problems under an error bound condition
• Complexity analysis of regularization methods for implicitly constrained least squares
• Worst-case evaluation complexity of derivative-free nonmonotone line search methods for solving nonlinear systems of equations
• A Stochastic Levenberg--Marquardt Method Using Random Models with Complexity Results
• A stochastic iteratively regularized Gauss-Newton method
• Regularized Newton Method with Global \({\boldsymbol{\mathcal{O}(1/{k}^2)}}\) Convergence
• Majorization-minimization-based Levenberg-Marquardt method for constrained nonlinear least squares

Uses Software

• minpack

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