scipy.optimize.newton_krylov

scipy.optimize.newton_krylov(F, xin, iter=None, rdiff=None, method='lgmres', inner_maxiter=20, inner_M=None, outer_k=10, verbose=False, maxiter=None, f_tol=None, f_rtol=None, x_tol=None, x_rtol=None, tol_norm=None, line_search='armijo', callback=None, **kw)

Find a root of a function, using Krylov approximation for inverse Jacobian.

This method is suitable for solving large-scale problems.

Parameters

Ffunction(x) -> f

Function whose root to find; should take and return an array-like object.

xinarray_like

Initial guess for the solution

rdifffloat, optional

Relative step size to use in numerical differentiation.

method{‘lgmres’, ‘gmres’, ‘bicgstab’, ‘cgs’, ‘minres’} or function

Krylov method to use to approximate the Jacobian. Can be a string, or a function implementing the same interface as the iterative solvers in scipy.sparse.linalg.

The default is scipy.sparse.linalg.lgmres.

inner_MLinearOperator or InverseJacobian

Preconditioner for the inner Krylov iteration. Note that you can use also inverse Jacobians as (adaptive) preconditioners. For example,

>>> from scipy.optimize.nonlin import BroydenFirst, KrylovJacobian
>>> from scipy.optimize.nonlin import InverseJacobian
>>> jac = BroydenFirst()
>>> kjac = KrylovJacobian(inner_M=InverseJacobian(jac))

If the preconditioner has a method named ‘update’, it will be called as update(x, f) after each nonlinear step, with x giving the current point, and f the current function value.

inner_tol, inner_maxiter, …

Parameters to pass on to the “inner” Krylov solver. See scipy.sparse.linalg.gmres for details.

outer_kint, optional

Size of the subspace kept across LGMRES nonlinear iterations. See scipy.sparse.linalg.lgmres for details.

iterint, optional

Number of iterations to make. If omitted (default), make as many as required to meet tolerances.

verbosebool, optional

Print status to stdout on every iteration.

maxiterint, optional

Maximum number of iterations to make. If more are needed to meet convergence, NoConvergence is raised.

f_tolfloat, optional

Absolute tolerance (in max-norm) for the residual. If omitted, default is 6e-6.

f_rtolfloat, optional

Relative tolerance for the residual. If omitted, not used.

x_tolfloat, optional

Absolute minimum step size, as determined from the Jacobian approximation. If the step size is smaller than this, optimization is terminated as successful. If omitted, not used.

x_rtolfloat, optional

Relative minimum step size. If omitted, not used.

tol_normfunction(vector) -> scalar, optional

Norm to use in convergence check. Default is the maximum norm.

line_search{None, ‘armijo’ (default), ‘wolfe’}, optional

Which type of a line search to use to determine the step size in the direction given by the Jacobian approximation. Defaults to ‘armijo’.

callbackfunction, optional

Optional callback function. It is called on every iteration as callback(x, f) where x is the current solution and f the corresponding residual.

Returns

solndarray

An array (of similar array type as x0) containing the final solution.

Raises

NoConvergence

When a solution was not found.

See also

root

Interface to root finding algorithms for multivariate functions. See method=='krylov' in particular.

scipy.sparse.linalg.gmres

scipy.sparse.linalg.lgmres

Notes

This function implements a Newton-Krylov solver. The basic idea is to compute the inverse of the Jacobian with an iterative Krylov method. These methods require only evaluating the Jacobian-vector products, which are conveniently approximated by a finite difference:

\[J v \approx (f(x + \omega*v/|v|) - f(x)) / \omega\]

Due to the use of iterative matrix inverses, these methods can deal with large nonlinear problems.

SciPy’s scipy.sparse.linalg module offers a selection of Krylov solvers to choose from. The default here is lgmres, which is a variant of restarted GMRES iteration that reuses some of the information obtained in the previous Newton steps to invert Jacobians in subsequent steps.

For a review on Newton-Krylov methods, see for example [1], and for the LGMRES sparse inverse method, see [2].

References

1

D.A. Knoll and D.E. Keyes, J. Comp. Phys. 193, 357 (2004). DOI:10.1016/j.jcp.2003.08.010

2

A.H. Baker and E.R. Jessup and T. Manteuffel, SIAM J. Matrix Anal. Appl. 26, 962 (2005). DOI:10.1137/S0895479803422014