Fast secant methods for the iterative solution of large nonsymmetric linear systems

Abstract

A family of secant methods based on general rank-1 updates was revisited in view of the construction of iterative solvers for large non-Hermitian linear systems. As it turns out, both Broyden's good and bad update techniques play a special role, but should be associated with two different line search principles. For Broyden's bad update technique, a minimum residual principle is natural, thus making it theoretically comparable with a series of well known algorithms like GMRES. Broyden's good update technique, however, is shown to be naturally linked with a minimum next correction principle, which asymptotically mimics a minimum error principle. The two minimization principles differ significantly for sufficiently large system dimension. Numerical experiments on discretized partial differential equations of convection diffusion type in 2-D with integral layers give a first impression of the possible power of the derived good Broyden variant.