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arXiv 1105.5331math.NAcs.NA
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正则张量分解的非线性GMRES Optimization算法

A Nonlinear GMRES Optimization Algorithm for Canonical Tensor Decomposition

Hans De Sterck

摘要:

提出了一种新的算法来计算一个正则秩R张量近似,该近似在Frobenius范数下与给定的张量具有最小距离,其中正则秩R张量由R秩1分量之和组成。该方法的每次迭代由三个步骤组成。在第一步中,一个试探性的新的迭代是由一个独立的一步过程,我们使用交替最小二乘(ALS)。在第二步中,一个加速的非线性广义最小残差(GMRES)的方法,重组以前的迭代以最佳的方式,并基本上使用独立的一步过程作为预条件。特别地,使用由Washio和Oosterlee在[ETNA Vol.15(2003),pp. [165-185]对于非线性偏微分方程问题。在第三步中,执行线搜索以进行全球化。由此产生的非线性GMRES(N-GMRES)优化算法被施加到密集和稀疏张量分解测试问题。数值试验表明,N-GMRES加速的ALS可以显著优于独立ALS和标准非线性共轭梯度最优化方法,特别是当需要高精度稳定点的困难问题。所提出的N-GMRES优化算法是基于一般概念的,可以应用于其他非线性最优化问题。

英文摘要:

A new algorithm is presented for computing a canonical rank-R tensor approximation that has minimal distance to a given tensor in the Frobenius norm, where the canonical rank-R tensor consists of the sum of R rank-one components. Each iteration of the method consists of three steps. In the first step, a tentative new iterate is generated by a stand-alone one-step process, for which we use alternating least squares (ALS). In the second step, an accelerated iterate is generated by a nonlinear generalized minimal residual (GMRES) approach, recombining previous iterates in an optimal way, and essentially using the stand-alone one-step process as a preconditioner. In particular, the nonlinear extension of GMRES is used that was proposed by Washio and Oosterlee in [ETNA Vol. 15 (2003), pp. 165-185] for nonlinear partial differential equation problems. In the third step, a line search is performed for globalization. The resulting nonlinear GMRES (N-GMRES) optimization algorithm is applied to dense and sparse tensor decomposition test problems. The numerical tests show that ALS accelerated by N-GMRES may significantly outperform both stand-alone ALS and a standard nonlinear conjugate gradient optimization method, especially when highly accurate stationary points are desired for difficult problems. The proposed N-GMRES optimization algorithm is based on general concepts and may be applied to other nonlinear optimization problems.

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