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arXiv 2311.02490math.NAcs.NAmath.OCstat.ML
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面向对称不动点迭代的加窗安德森加速方法的改进收敛因子

Improved Convergence Factor of Windowed Anderson Acceleration for Symmetric Fixed-Point Iterations

Casey Garner, Gilad Lerman, Teng Zhang

AI总结:

本文针对对称不动点迭代的加窗安德森加速算法,首次证明其在线性对称算子及非线性对称雅可比场景下的收敛因子提升效果,并通过仿真和泰勒M估计实验验证了算法的优越性。

摘要:

本文研究了不动点方法$x^{(k+1)}=q(x^{(k)})$中常用的加窗Anderson acceleration(安德森加速,AA)算法。本文首次证明:当算子$q$为线性对称算子时,采用过往迭代滑动窗口的加窗AA,相比不动点迭代能提升根线性收敛因子。当$q$为非线性但在不动点处具有对称雅可比矩阵时,经轻微修改的AA算法被证明相比不动点迭代具有类似的根线性收敛因子提升效果。仿真验证了我们的结论。此外,针对不同数据模型的实验表明,在Tyler's M-estimation(泰勒M估计)问题中,AA显著优于标准不动点方法。

英文摘要:

This paper studies the commonly utilized windowed Anderson acceleration (AA) algorithm for fixed-point methods, $x^{(k+1)}=q(x^{(k)})$. It provides the first proof that when the operator $q$ is linear and symmetric the windowed AA, which uses a sliding window of prior iterates, improves the root-linear convergence factor over the fixed-point iterations. When $q$ is nonlinear, yet has a symmetric Jacobian at a fixed point, a slightly modified AA algorithm is proved to have an analogous root-linear convergence factor improvement over fixed-point iterations. Simulations verify our observations. Furthermore, experiments with different data models demonstrate AA is significantly superior to the standard fixed-point methods for Tyler's M-estimation.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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