The Broyden method for systems of equations

Broyden’s method Broyden (1965) is a quasi-Newton method that eliminates the need to recompute the Jacobian matrix at every iteration step. In the \(i+1\)-th step of the iteration, we use an approximation for the Jacobian matrix, which we shall denote by \(\require{physics} \vb{A}_i\): \[\begin{equation} \vb{A}_i (\vb{x}_{i+1} - \vb{x}_i) = \vb{f}(\vb{x}_{i+1}) - \vb{f}(\vb{x}_i) \thinspace , \end{equation}\] or using a simplified notation: \[\begin{equation} \label{eq:broyden1} \vb{A}_i \Delta \vb{x}_{i+1} = \Delta \vb{f}_{i+1} \thinspace . \end{equation}\] These equations show the action of \(\vb{A}_{i+1}\) on \(\Delta \vb{x}_{i+1}\). However, to fully characterize \(\vb{A}_{i+1}\), we must also know its action on a vector \(\vb{z}_i\) that is in the orthogonal complement of \(\Delta \vb{x}_{i+1}\). Since we have no information about this, we specify that there should be no change made in this direction, i.e. \[\begin{equation} \label{eq:broyden2} \forall \vb{z}_i: \vb{z}_i \cdot \Delta \vb{x}_{i} = 0: \qquad \vb{A}_{i+1} \vb{z}_i = \vb{A}_i \vb{z}_i \end{equation}\] We can show that the (unique) solution to equations \(\eqref{eq:broyden1}\) and \(\eqref{eq:broyden2}\) is \[\begin{equation} \vb{A}_{i+1} = \vb{A}_i + \frac{\Delta \vb{f}_{i+1} - \vb{A}_i \Delta \vb{x}_{i+1}}{|| \Delta \vb{x}_{i+1} ||^2} \Delta \vb{x}_{i+1}^T \thinspace , \end{equation}\] which is of the form \((\vb{A} + \vb{x} \vb{y}^T)\), for \(\vb{A}\) nonsingular and \(\vb{y}^T \vb{A}^{-1} \vb{x} \neq -1\), such that we can use the Sherman-Morrison formula (Burden and Faires 2011) \[\begin{equation} (\vb{A} + \vb{x} \vb{y}^T)^{-1} = \vb{A}^{-1} - \frac{\vb{A}^{-1} \vb{x} \vb{y}^T \vb{A}^{-1}}{1 + \vb{y}^T \vb{A}^{-1} \vb{x}} \thinspace , \end{equation}\] which leads to \[\begin{equation} \label{eq:broyden_A_update} \vb{A}_{i+1}^{-1} = \vb{A}_i^{-1} + \frac{(\Delta \vb{x}_{i+1} - \vb{A}^{-1}_i \Delta \vb{f}_{i+1}) \Delta \vb{x}_{i+1}^T \vb{A}_i^{-1}}{\Delta \vb{x}^T_{i+1} \vb{A}^{-1}_i \Delta \vb{f}_{i+1}} \thinspace . \end{equation}\] All in all, this makes the solution to equation \(\eqref{eq:broyden1}\) when requiring \(\vb{f}(\vb{x}_{i+1}) = \vb{0}\) easier to compute: \[\begin{equation} \label{eq:broyden_delta_x} \Delta \vb{x}_{i+1} = - \vb{A}_i^{-1} \vb{f}(\vb{x}_i) \thinspace , \end{equation}\] which means that the (possibly) time-consuming step of calculating the Jacobian over and over again in Newton’ method, is avoided.

Broyden’s method goes as follows:

  1. Choose an initial guess \(\vb{x}_0\) and calculate \(\vb{A}_0^{-1} = \vb{J}(\vb{x}_0)^{-1}\), with \(\vb{J}\) the exact Jacobian
  2. Solve equation \(\eqref{eq:broyden_delta_x}\)
  3. Update the guess \[\begin{equation} \vb{x}_{i+1} = \vb{x}_i + \Delta \vb{x}_{i+1} \end{equation}\]
  4. Update the inverse of the approximate Jacobian matrix \(\vb{A}_{i+1}\) through equation \(\eqref{eq:broyden_A_update}\)
  5. Repeat steps \(\ref{en:broyden:first}\) through \(\ref{en:broyden:last}\) until convergence is achieved: \[\begin{equation} || \Delta \vb{x}_{i+1} || < \epsilon \end{equation}\]

References

Broyden, C. G. 1965. A Class of Methods for Solving Nonlinear Simultaneous Equations.” Mathematics of Computation 19 (92): 577. https://doi.org/10.2307/2003941.
Burden, Richard L., and J. Douglas Faires. 2011. Numerical Analysis. Ninth. Brooks/Cole.