Volume 74, Number 1, 23-39, DOI: 10.1007/s00607-004-0083-1

On the Quadratic Convergence of the Levenberg-Marquardt Method without Nonsingularity Assumption

Jin-yan Fan and Ya-xiang Yuan

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Abstract

Recently, Yamashita and Fukushima [11] established an interesting quadratic convergence result for the Levenberg-Marquardt method without the nonsingularity assumption. This paper extends the result of Yamashita and Fukushima by using mgrk=||F(xk)||delta, where deltaisin[1,2], instead of mgrk=||F(xk)||2 as the Levenberg-Marquardt parameter. If ||F(x)|| provides a local error bound for the system of nonlinear equations F(x)=0, it is shown that the sequence {xk} generated by the new method converges to a solution quadratically, which is stronger than dist(xk,X*)rarr0 given by Yamashita and Fukushima. Numerical results show that the method performs well for singular problems.

AMS Subject Classifications:  34G20 - 65K05 - 90C30

Keywords  Nonlinear equations - Levenberg-Marquardt method - quadratic convergence

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