-

 

 

 




Optimization Online





 

On fast integration to steady state and earlier times

Uri Ascher(ascher***at***cs.ubc.ca)
Kees van den Doel(kvdoel***at***cs.ubc.ca)
Hui Huang(hhzhiyan***at***math.ubc.ca)
Benar Svaiter(benar***at***impa.br)

Abstract: The integration to steady state of many initial value ODEs and PDEs using the forward Euler method can alternatively be considered as gradient descent for an associated minimization problem. Greedy algorithms such as steepest descent for determining the step size are as slow to reach steady state as is forward Euler integration with the best uniform step size. But other, much faster methods using bolder step size selection exist. Various alternatives are investigated from both theoretical and practical points of view. The steepest descent method is also known for the regularizing or smoothing effect that the first few steps have for certain inverse problems, amounting to a finite time regularization. We further investigate the retention of this property using the faster gradient descent variants in the context of two applications. When the combination of regularization and accuracy demands more than a dozen or so steepest descent steps, the alternatives offer an advantage, even though (indeed because) the absolute stability limit of forward Euler is carefully yet severely violated.

Keywords: Steady state, artificial time, gradient descent, forward Euler, lagged steepest descent, regularization.

Category 1: Applications -- Science and Engineering (Basic Sciences Applications )

Category 2: Applications -- Science and Engineering (Optimization of Systems modeled by PDEs )

Category 3: Nonlinear Optimization (Systems governed by Differential Equations Optimization )

Citation:

Download: [PDF]

Entry Submitted: 07/18/2008
Entry Accepted: 07/18/2008
Entry Last Modified: 07/18/2008

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Programming Society