A global hybrid derivative-free method for high-dimensional systems of nonlinear equations

Rodolfo G. Begiato, Ana Luisa Custódio, Márcia A. Gomes-Ruggiero

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This work concerns the numerical solution of high-dimensional systems of nonlinear equations, when derivatives are not available for use, but assuming that all functions defining the problem are continuously differentiable. A hybrid approach is taken, based on a derivative-free iterative method, organized in two phases. The first phase is defined by derivative-free versions of a fixed-point method that employs spectral parameters to define the steplength along the residual direction. The second phase consists on a matrix-free inexact Newton method that employs the Generalized Minimal Residual algorithm to solve the linear system that computes the search direction. This second phase will only take place if the first one fails to find a better point after a predefined number of reductions in the step size. In all stages, the criterion to accept a new point considers a nonmonotone decrease condition upon a merit function. Convergence results are established and the numerical performance is assessed through experiments in a set of problems collected from the literature. Both the theoretical and the experimental analysis support the feasibility of the proposed hybrid strategy.

Original languageEnglish
Pages (from-to)93-112
Number of pages20
JournalComputational Optimization And Applications
Volume75
DOIs
Publication statusPublished - 1 Jan 2020

Keywords

  • Derivative-free optimization methods
  • Inexact Newton
  • Nonlinear systems of equations
  • Nonmonotone line search
  • Spectral residual

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