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Broyden's method for solving F(x)=0

To initialize this algorithm, a starting point x(0) and an estimate A0 of J(x(0))must be given. The iteration is then

\begin{eqnarray*}x^{(k+1)}&=&x^{(k)}-A_k^{-1}F(x^{(k)}),\\
s^{(k)}&=&x^{(k+1)}-...
...left(y^{(k)}-A_ks^{(k)}\right)(s^{(k)})^T}{s^{(k)}\cdot s^{(k)}}
\end{eqnarray*}


for $k=1,2,3,\ldots$. The initial matrix A0 is usually taken to be either J(x(0)) or a finite-difference approximation to it. The reader should notice that nothing in the development of Broyden's method guarantees that Ak is always nonsingular. Therefore, some enhancements to the algorithm are still necessary.



Mark S. Gockenbach
2003-02-17