On the sparse and symmetric least-change secant update

Author:
Trond Steihaug

Journal:
Math. Comp. **42** (1984), 521-533

MSC:
Primary 65H05; Secondary 65F50

DOI:
https://doi.org/10.1090/S0025-5718-1984-0736450-2

MathSciNet review:
736450

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Abstract: To find the sparse and symmetric *n* by *n* least-change secant update we have to solve a consistent linear system of *n* equations in *n* unknowns, where the coefficient matrix is symmetric and positive semidefinite. We give bounds on the eigenvalues of the coefficient matrix and show that the preconditioned conjugate gradient method is a very efficient method for solving the linear equation. By solving the linear system only approximately, we generate a family of sparse and symmetric updates with a residual in the secant equation. We address the question of how accurate a solution is needed not to impede the convergence of quasi-Newton methods using the approximate least-change update. We show that the quasi-Newton methods are locally and superlinearly convergent after one or more preconditioned conjugate gradient iterations.

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DOI:
https://doi.org/10.1090/S0025-5718-1984-0736450-2

Article copyright:
© Copyright 1984
American Mathematical Society