A Nonmonotone Matrix-Free Algorithm for Nonlinear Equality-Constrained Least-Squares Problems
Bergou, El Houcine; Diouane, Youssef; Kungurtsev, Vyacheslav; Royer, Clément W. (2021), A Nonmonotone Matrix-Free Algorithm for Nonlinear Equality-Constrained Least-Squares Problems, SIAM Journal on Scientific Computing, 43, 5, p. S743-S766. 10.1137/20M1349138
TypeArticle accepté pour publication ou publié
Journal nameSIAM Journal on Scientific Computing
MetadataShow full item record
Author(s)Bergou, El Houcine
Royer, Clément W.
Laboratoire d'analyse et modélisation de systèmes pour l'aide à la décision [LAMSADE]
Abstract (EN)Least squares form one of the most prominent classes of optimization problems with numerous applications in scientific computing and data fitting. When such formulations aim at modeling complex systems, the optimization process must account for nonlinear dynamics by incorporating constraints. In addition, these systems often incorporate a large number of variables, which increases the difficulty of the problem and motivates the need for efficient algorithms amenable to large-scale implementations. In this paper, we propose and analyze a Levenberg--Marquardt algorithm for nonlinear least squares subject to nonlinear equality constraints. Our algorithm is based on inexact solves of linear least-squares problems that only require Jacobian-vector products. Global convergence is guaranteed by the combination of a composite step approach and a nonmonotone step acceptance rule. We illustrate the performance of our method on several test cases from data assimilation and inverse problems; our algorithm is able to reach the vicinity of a solution from an arbitrary starting point and can outperform the most natural alternatives for these classes of problems.
Subjects / KeywordsNonlinear least squares; Equality constraints; Levenberg-Marquardt method; Iterative linear algebra; PDE-constrained optimization
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