Globalization technique for projected Newton–Krylov methods

Abstract

SUMMARYLarge-scale systems of nonlinear equations appear in many applications. In various applications, the solution of the nonlinear equations should also be in a certain interval. A typical application is a discretized system of reaction diffusion equations. It is well known that chemical species should be positive otherwise the solution is not physical and in general blow up occurs. Recently, a projected Newton method has been developed, which can be used to solve this type of problems. A drawback is that the projected Newton method is not globally convergent. This motivates us to develop a new feasible projected Newton-Krylov algorithm for solving a constrained system of nonlinear equations. Combined with a projected gradient direction, our feasible projected Newton-Krylov algorithm circumvents the non-descent drawback of search directions which appear in the classical projected Newton methods. Global and local superlinear convergence of our approach is established under some standard assumptions. Numerical experiments are used to illustrate that the new projected Newton method is globally convergent and is a significate complementarity for Newton-Krylov algorithms known in the literature.