Efficient Rank Reduction of Correlation Matrices

Geometric optimisation algorithms are developed that efficiently find the nearest low-rank correlation matrix. We show, in numerical tests, that our methods compare favourably to the existing methods in the literature. The connection with the Lagrange multiplier method is established, along with an identification of whether a local minimum is a global minimum. An additional benefit of the geometric approach is that any weighted norm can be applied. The problem of finding the nearest low-rank correlation matrix occurs as part of the calibration of multi-factor interest rate market models to correlation.Comment: First version: 20 pages, 4 figures Second version [changed content]: 21 pages, 6 figure

On Algorithms Based on Joint Estimation of Currents and Contrast in Microwave Tomography

This paper deals with improvements to the contrast source inversion method which is widely used in microwave tomography. First, the method is reviewed and weaknesses of both the criterion form and the optimization strategy are underlined. Then, two new algorithms are proposed. Both of them are based on the same criterion, similar but more robust than the one used in contrast source inversion. The first technique keeps the main characteristics of the contrast source inversion optimization scheme but is based on a better exploitation of the conjugate gradient algorithm. The second technique is based on a preconditioned conjugate gradient algorithm and performs simultaneous updates of sets of unknowns that are normally processed sequentially. Both techniques are shown to be more efficient than original contrast source inversion.Comment: 12 pages, 12 figures, 5 table

A Three-Term Conjugate Gradient Method with Sufficient Descent Property for Unconstrained Optimization

Conjugate gradient methods are widely used for solving large-scale unconstrained optimization problems, because they do not need the storage of matrices. In this paper, we propose a general form of three-term conjugate gradient methods which always generate a sufficient descent direction. We give a sufficient condition for the global convergence of the proposed general method. Moreover, we present a specific three-term conjugate gradient method based on the multi-step quasi-Newton method. Finally, some numerical results of the proposed method are given

Computation of Ground States of the Gross-Pitaevskii Functional via Riemannian Optimization

In this paper we combine concepts from Riemannian Optimization and the theory of Sobolev gradients to derive a new conjugate gradient method for direct minimization of the Gross-Pitaevskii energy functional with rotation. The conservation of the number of particles constrains the minimizers to lie on a manifold corresponding to the unit $L^2$ norm. The idea developed here is to transform the original constrained optimization problem to an unconstrained problem on this (spherical) Riemannian manifold, so that fast minimization algorithms can be applied as alternatives to more standard constrained formulations. First, we obtain Sobolev gradients using an equivalent definition of an $H^1$ inner product which takes into account rotation. Then, the Riemannian gradient (RG) steepest descent method is derived based on projected gradients and retraction of an intermediate solution back to the constraint manifold. Finally, we use the concept of the Riemannian vector transport to propose a Riemannian conjugate gradient (RCG) method for this problem. It is derived at the continuous level based on the "optimize-then-discretize" paradigm instead of the usual "discretize-then-optimize" approach, as this ensures robustness of the method when adaptive mesh refinement is performed in computations. We evaluate various design choices inherent in the formulation of the method and conclude with recommendations concerning selection of the best options. Numerical tests demonstrate that the proposed RCG method outperforms the simple gradient descent (RG) method in terms of rate of convergence. While on simple problems a Newton-type method implemented in the {\tt Ipopt} library exhibits a faster convergence than the (RCG) approach, the two methods perform similarly on more complex problems requiring the use of mesh adaptation. At the same time the (RCG) approach has far fewer tunable parameters.Comment: 28 pages, 13 figure

Continuation-conjugate gradient methods for the least squares solution of nonlinear boundary value problems

We discuss in this paper a new combination of methods for solving nonlinear boundary value problems containing a parameter. Methods of the continuation type are combined with least squares formulations, preconditioned conjugate gradient algorithms and finite element approximations. We can compute branches of solutions with limit points, bifurcation points, etc. Several numerical tests illustrate the possibilities of the methods discussed in the present paper; these include the Bratu problem in one and two dimensions, one-dimensional bifurcation and perturbed bifurcation problems, the driven cavity problem for the Navier–Stokes equations