Estimation of spectral bounds in gradient algorithms

Abstract : We consider the solution of linear systems of equations Ax = b, with A a symmetric positive-definite matrix in R nxn, through Richardson-type iterations or, equivalently, the minimization of convex quadratic functions (1/2)(Ax, x) - (b, x) with a gradient algorithm. The use of step-sizes asymptotically distributed with the arcsine distribution on the spectrum of A then yields an asymptotic rate of convergence after k < n iterations, k -> infinity, that coincides with that of the conjugate-gradient algorithm in the worst case. However, the spectral bounds m and M are generally unknown and thus need to be estimated to allow the construction of simple and cost-effective gradient algorithms with fast convergence. It is the purpose of this paper to analyse the properties of estimators of m and M based on moments of probability measures nuk defined on the spectrum of A and generated by the algorithm on its way towards the optimal solution. A precise analysis of the behavior of the rate of convergence of the algorithm is also given. Two situations are considered: (i) the sequence of step-sizes corresponds to i.i.d. random variables, (ii) they are generated through a dynamical system (fractional parts of the golden ratio) producing a low-discrepancy sequence. In the first case, properties of random walk can be used to prove the convergence of simple spectral bound estimators based on the first moment of nuk. The second option requires a more careful choice of spectral bounds estimators but is shown to produce much less fluctuations for the rate of convergence of the algorithm.
Liste complète des métadonnées

Cited literature [20 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-01001685
Contributor : Luc Pronzato <>
Submitted on : Wednesday, June 4, 2014 - 4:43:51 PM
Last modification on : Monday, November 5, 2018 - 3:52:02 PM
Document(s) archivé(s) le : Thursday, September 4, 2014 - 1:00:44 PM

File

AAM_PZB_final.pdf
Files produced by the author(s)

Identifiers

Collections

Citation

Luc Pronzato, Anatoly Zhigljavsky, Elena Bukina. Estimation of spectral bounds in gradient algorithms. Acta Applicandae Mathematicae, Springer Verlag, 2013, 127, pp.117-136. ⟨10.1007/s10440-012-9794-z⟩. ⟨hal-01001685⟩

Share

Metrics

Record views

337

Files downloads

153