使用 Levenberg-Marquardt 方法测试 \[u_{xx}+u^2=-sin(x)+sin(x)^2\], 初值选取 \(u(x)=cos(x)sin(x)\)
参考文献:《非线性方程组数值方法》,袁亚湘;
- 给出初值 \(x_0 \in \mathbb{R}^n; k=1,\eta \in(0,1)\)
- 若 \(\|J_k^{T} F_k\|=0\), 停;
求解 \(\displaystyle (J_k^TJ_k+\lambda_k I)d=-J_k^T F_k,\lambda_k=\|F_k\|\), 得到搜索方向 \(d_k\); - 若\(d_k\) 满足 \(\displaystyle \|F(x_k+d_k) \| \leq \eta \|F_k\|\), 则 \(x_{k+1}=x_k+d_k\);
否则: \(x_{k+1}=x_k+\alpha_k d_k\), 这里的 $\alpha_k $ 由Armijio 线搜索得到;
注:这里的Armijio 线搜索如下:
\(\alpha_k=\xi^t,\xi \in(0,1)\), \(t\in \mathbb{Z}^+\) 是满足如下不等式的最小非负整数:
\[ {\| F(x_k+\xi^t d_k) \|}^2 \leqslant {\|F(x_k) \|}^2+\beta_1 \xi^t F^T_k J_k d_k \] - \(k=k+1\), 转2.
function T69
% 全局二次收敛的 Levenberg-Marquardt
% yuewen_chen@qq.com
n=300;
r=linspace(-pi*5,pi*5,n)';
h=r(2)-r(1);
rb=[r(1)-h;r;r(end)+h];
f=-sin(r)+sin(r).^2;
x0=sin(rb);
u=cos(r).*sin(r); % initial guess
% ************ D2********************
cn1=-1*ones(n-1,1);
cp1=1*ones(n-1,1);
c=-2*ones(n,1);
D2=sparse((diag(c,0)+diag(cp1,1)+diag(-cn1,-1))/(h^2));
%******************************************
M=D2;
eta=0.9;
for k=1:200
lam=norm(F(u));
L=g(u)'*g(u)+lam*speye(n,n);
R=-g(u)'*F(u); %之前转置写掉了;
d=L\R;
if norm(F(u+d))<=norm(eta*F(u))
u=u+d;
else
alp=Armijo(u,d);
u=u+alp*d;
end
plot(r,u,'b.',r,sin(r),'r')
title(['res=',num2str(nF(u)), ', k=',num2str(k),' , \alpha=',num2str(norm(d))])
drawnow
end
function y=F(u)
y=M*u+u.^2-f;
y(1)=y(1)+x0(1)/h^2;
y(end)=y(end)+x0(end)/h^2;
end
function y=g(u)
J=M+diag(2*u,0);
y=J;
end
function y=nF(u)
y=norm(F(u));
end
function alp=Armijo(u,d)
et=1/5;
bet1=0.5;
t=0;
while t<=500
if (nF(u+et^t*d)^2<=nF(u)^2+bet1*et^t*F(u)'*g(u)*d)
alp=et^t;
break
else
t=t+1;
end
alp=et^t;
end
end
end