A more direct and better variant of New Q-Newton's method Backtracking for m equations in m variables

MaRDI QIDQ6380339zbMATH OpenFDO

Authors Tuyen Trung Truong

Publication date 14 October 2021

Has companion code repository https://github.com/tuyenttMathOslo/NewQNewtonMethodBacktrackingForSystemEquations

Abstract: In this paper we apply the ideas of New Q-Newton's method directly to a system of equations, utilising the specialties of the cost function $f=||F|{|}^2$, where $F=(f_1,ldots,f_m)$. The first algorithm proposed here is a modification of Levenberg-Marquardt algorithm, where we prove some new results on global convergence and avoidance of saddle points. The second algorithm proposed here is a modification of New Q-Newton's method Backtracking, where we use the operator $abl{a}^{2}f(x)+delta||F(x)|{|}^{au}$ instead of $abl{a}^{2}f(x)+delta||ablaf(x)|{|}^{au}$. This new version is more suitable than New Q-Newton's method Backtracking itself, while currently has better avoidance of saddle points guarantee than Levenberg-Marquardt algorithms. Also, a general scheme for second order methods for solving systems of equations is proposed. We will also discuss a way to avoid that the limit of the constructed sequence is a solution of $H(x{)}^{intercal}F(x)=0$ but not of $F(x)=0$.

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