Local convergence of quasi-Newton methods under metric regularity

被引:34
|
作者
Artacho, F. J. Aragon [1 ]
Belyakov, A. [2 ,3 ]
Dontchev, A. L. [4 ]
Lopez, M. [5 ]
机构
[1] Univ Luxembourg, Syst Biochem Grp, Luxembourg Ctr Syst Biomed, L-4362 Esch Sur Alzette, Luxembourg
[2] Vienna Univ Technol, Inst Math Methods Econ, A-1040 Vienna, Austria
[3] Moscow MV Lomonosov State Univ, Inst Mech, Moscow 119192, Russia
[4] Math Reviews, Ann Arbor, MI 48107 USA
[5] Univ Alicante, Dept Stat & Operat Res, E-03080 Alicante, Spain
关键词
Generalized equation; Quasi-Newton method; Broyden update; Strong metric subregularity; Metric regularity; Strong metric regularity; q-Superlinear convergence; SUPERLINEAR CONVERGENCE; BROYDENS METHOD;
D O I
10.1007/s10589-013-9615-y
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
We consider quasi-Newton methods for generalized equations in Banach spaces under metric regularity and give a sufficient condition for q-linear convergence. Then we show that the well-known Broyden update satisfies this sufficient condition in Hilbert spaces. We also establish various modes of q-superlinear convergence of the Broyden update under strong metric subregularity, metric regularity and strong metric regularity. In particular, we show that the Broyden update applied to a generalized equation in Hilbert spaces satisfies the Dennis-Mor, condition for q-superlinear convergence. Simple numerical examples illustrate the results.
引用
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页码:225 / 247
页数:23
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