A Simplified Algorithm for a Full-Rank Update Quasi-Newton Method

An efficient linearization method for solving a system of nonlinear equations was developed, showing good stability and convergence properties. It uses an unconventional and simple strategy to improve the performance of classic methods by a full-rank update of the Jacobian approximates. It can be considered both as a discretized Newton’s method or as a quasi-Newton method with a full-rank update of the Jacobian approximates. A solution to the secant equation presented earlier was based on the Wolfe-Popper procedure. The secant equation was splitted into two equations by introducing an auxiliary variable. A simplified algorithm is given in this paper for the full-rank update procedure.It directly solves the secant equation with the pseudoinverse of the Jacobian approximate matrix. Numerical examples are shown for demonstration purposes. The convergence and efficiency of the suggested method are discussed and compared with the convergence and efficiency of classic linearization methods.