Technical Report ERGO 08-004

Convergence of a Regularized Euclidean Residual algorithm for nonlinear least-squares
Stefania Bellavia, Coralia Cartis, Nicholas I. M. Gould, Benedetta Morini and Philippe L. Toint


The convergence properties of the new Regularized Euclidean Residual method for solving general nonlinear least-squares and nonlinear equations problems are investigated. This method, derived from a proposal by Nesterov (2007), uses a model of the objective function consisting of the unsquared Euclidean linearized residual regularized by a quadratic term. At variance with previous analysis, its convergence properties are here considered without assuming uniformly nonsingular globally Lipschitz continuous Jacobians, nor exact subproblem solution. It is proved that the method is globally convergent to first-order critical points, and, under stronger assumptions, to roots of the underlying system of nonlinear equations. The rate of convergence is also shown to be quadratic under stronger assumptions.


Nonlinear least-squares, systems of nonlinear equations, numerical algorithms, global convergence




Written: 25 July 2008


Published in SIAM Journal on Numerical Analysis.