Technical Report CS-2018-02

TR#:CS-2018-02
Class:CS
Title: A Convergence Study for Reduced Rank Extrapolation on Nonlinear Systems
Authors: Avram Sidi
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Abstract: Reduced Rank Extrapolation (RRE) is a polynomial type method used to accelerate the convergence of sequences of vectors $\{x_m\}$. It is applied successfully in different disciplines of science and engineering in the solution of large and sparse systems of linear and nonlinear equations of very large dimension.

If $s$ is the solution to the system of equations $x=f(x)$, first, a vector sequence $\{x_m\}$ is generated via the fixed-point iterative scheme $x_{m+1}=f(\xx_m)$, $m=0,1,\ldots,$ and next, RRE is applied to this sequence to accelerate its convergence. RRE producesapproximations $s_{n,k}$ to $s$ that are of the form $s_{n,k}=\sum^k_{i=0}\gamma_i x_{n+i}$ for some scalars $\gamma_i$ depending (nonlinearly) on $x_n, x_{n+1},\ldots, x_{n+k+1}$ and satisfying $\sum^k_{i=0}\gamma_i=1$.

The convergence properties of RRE when applied in conjunction with linear $f(x)$ have been analyzed in different publications. In this work, we discuss the convergence of the $s_{n,k}$ obtained from RRE with nonlinear $f(x)$ (i)\,when $n\to\infty$ with fixed $k$, and (ii)\,in two so-called {\em cycling} modes.

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