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research article

A multi-iterate method to solve systems of nonlinear equations

Bierlaire, Michel  
•
Crittin, Frank
•
Thémans, Michaël  
2007
European Journal of Operational Research

We propose an extension of secant methods for nonlinear equations using a population of previous iterates. Contrarily to classical secant methods, where exact interpolation is used, we prefer a least squares approach to calibrate the linear model. We propose an explicit control of the numerical stability of the method. We show that our approach can lead to an update formula. In that case, we prove the local convergence of the corresponding undamped quasi-Newton method. Finally, computational comparisons with classical quasi-Newton methods highlight a significant improvement in terms of robustness and number of function evaluations. We also present numerical tests showing the robust behavior of our method in the presence of noise.

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Type
research article
DOI
10.1016/j.ejor.2006.09.080
Web of Science ID

WOS:000247718800002

Author(s)
Bierlaire, Michel  
Crittin, Frank
Thémans, Michaël  
Date Issued

2007

Published in
European Journal of Operational Research
Volume

183

Issue

1

Start page

20

End page

41

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
TRANSP-OR  
Available on Infoscience
February 15, 2008
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/18328
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