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AAAI 2025

February 27, 2025

Philadelphia, United States

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This paper studies solving the system of nonlinear equations $ {\bf F}(\bf x)={\bf 0}$, where ${\bf F}:{\mathbb R}^{d}\to{\mathbb R}^d$. We propose Gram-Reduced Levenberg--Marquardt (GRLM) method which updates the matrix ${\bf J}(\cdot)^\top{\bf J}(\cdot)$ in every $m$ iterations, where ${\bf J}(\cdot)$ is the Jacobian of ${\bf F}(\cdot)$. Our method has a global convergence guarantee without relying on any step of line-search or solving sub-problems. We prove our method takes at most $\mathcal{O}(m^2+m^{-0.5}\epsilon^{-2.5})$ iterations to find an $\epsilon$-stationary point of $\frac{1}{2}||{\bf F}(\cdot)||^2$, which leads to overall computation cost of $\mathcal{O}(d^3\epsilon^{-1}+d^2\epsilon^{-2})$ by taking $m=\Theta(\epsilon^{-1})$. Our results are strictly better than the cost of $\mathcal{O}(d^3\epsilon^{-2})$ for existing LM methods. We also show the proposed method enjoys local superlinear convergence rate under the non-degenerate assumption. We provide rigorous experiments on important applications of scientific computing and machine learning to validate the efficiency of the proposed methods.

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