# 7.2. Mathematical Considerations

KINSOL solves nonlinear algebraic systems in real \(N\)-space.

Using Newton’s method, or the Picard iteration, one can solve

given an initial guess \(u_0\). Using a fixed-point iteration, the convergence of which can be improved with Anderson acceleration, one can solve

given an initial guess \(u_0\).

## 7.2.1. Basic Newton iteration

Depending on the linear solver used, KINSOL can employ either an Inexact Newton method [20, 25, 41, 43, 80], or a Modified Newton method. At the highest level, KINSOL implements the following iteration scheme:

Set \(u_0 =\) an initial guess

For \(n = 0, 1, 2,...\) until convergence do:

Solve \(J(u_n)\delta_n = -F(u_n)\)

Set \(u_{n+1} = u_n + \lambda \delta_n\), \(0 < \lambda \leq 1\)

Test for convergence

Here, \(u_n\) is the \(n\)th iterate to \(u\), and \(J(u) = F'(u)\) is the system Jacobian. At each stage in the iteration process, a scalar multiple of the step \(\delta_n\), is added to \(u_n\) to produce a new iterate, \(u_{n+1}\). A test for convergence is made before the iteration continues.

## 7.2.2. Newton method variants

For solving the linear system given in step (2a), KINSOL provides several choices,
including the option of a user-supplied linear solver module. The linear solver modules distributed with SUNDIALS
are organized in two families, a *direct* family comprising direct linear solvers for dense, banded, or sparse matrices
and a *spils* family comprising scaled preconditioned iterative (Krylov) linear solvers. The methods offered through
these modules are as follows:

dense direct solvers, using either an internal implementation or a BLAS/LAPACK implementation (serial or threaded vector modules only),

band direct solvers, using either an internal implementation or a BLAS/LAPACK implementation (serial or threaded vector modules only),

sparse direct solver interfaces to various libraries, including KLU [4, 40], SuperLU_MT [9, 42, 89], SuperLU_Dist [8, 58, 90, 91], and cuSPARSE [7] [Note that users will need to download and install the relevant external packages independent of KINSOL],

SPGMR, a scaled preconditioned GMRES (Generalized Minimal Residual method) solver,

SPFGMR, a scaled preconditioned FGMRES (Flexible Generalized Minimal Residual method) solver,

SPBCG, a scaled preconditioned Bi-CGStab (Bi-Conjugate Gradient Stable method) solver,

SPTFQMR, a scaled preconditioned TFQMR (Transpose-Free Quasi-Minimal Residual method) solver, or

PCG, a scaled preconditioned CG (Conjugate Gradient method) solver.

When using a direct linear solver, the linear system in 2a is solved exactly, thus resulting in a Modified Newton method (the Jacobian matrix is normally out of date; see below). Note that KINSOL allows the user to enforce a Jacobian evaluation at each iteration thus allowing for an Exact Newton iteration. Note that each direct linear solver is only compatible with a subset of vector representations (see §10.1.7 for details).

When using an iterative linear solver, the linear system in (2a) is solved only approximately, thus resulting in an Inexact Newton method. Here right preconditioning is available by way of the preconditioning setup and solve routines supplied by the user, in which case the iterative method is applied to the linear systems \((JP^{-1})(P\delta) = -F\), where \(P\) denotes the right preconditioning matrix.

Additionally, it is possible for users to supply a matrix-based iterative linear solver to KINSOL, resulting in a Modified Inexact Newton method. As with the direct linear solvers, the Jacobian matrix is updated infrequently; similarly as with iterative linear solvers the linear system is solved only approximately.

## 7.2.3. Jacobian information update strategy

In general, unless specified otherwise by the user, KINSOL strives to update Jacobian information (the actual system Jacobian \(J\) in the case of matrix-based linear solvers, and the preconditioner matrix \(P\) in the case of iterative linear solvers) as infrequently as possible to balance the high costs of matrix operations against other costs. Specifically, these updates occur when:

the problem is initialized,

\(\|\lambda\delta_{n-1}\|_{D_u,\infty} > 1.5\) (Inexact Newton only),

`mbset`

\(=10\) nonlinear iterations have passed since the last update,the linear solver failed recoverably with outdated Jacobian information,

the global strategy failed with outdated Jacobian information, or

\(\|\lambda\delta_{n}\|_{D_u,\infty} <\) steptol with outdated Jacobian or preconditioner information,

where the norm \(\|\cdot\|_{D_u,\infty}\) is defined below in (7.3).

KINSOL allows, through optional solver inputs, changes to the above strategy. Indeed, the user can disable the
initial Jacobian information evaluation or change the default value of `mbset`

, the number of nonlinear iterations
after which a Jacobian information update is enforced.

## 7.2.4. Scaling

To address the case of ill-conditioned nonlinear systems, KINSOL allows users to prescribe scaling factors both for the solution vector and for the residual vector. For scaling to be used, the user should supply values \(D_u\), which are diagonal elements of the scaling matrix such that \(D_u u_n\) has all components roughly the same magnitude when \(u_n\) is close to a solution, and \(D_F\), which are diagonal scaling matrix elements such that \(D_F F\) has all components roughly the same magnitude when \(u_n\) is not too close to a solution. Based on these scaling matrices, we define the following scaled norms:

where \(\| \cdot \|_\infty\) is the max norm. When scaling values are provided for the solution vector, these values are automatically incorporated into the calculation of the perturbations used for the default difference quotient approximations for Jacobian information; see (7.6) and (7.8) below.

## 7.2.5. Globalization strategy

Two methods of applying a computed step \(\delta_n\) to the previously computed solution vector are implemented. The first and simplest is the standard Newton strategy which applies step 2(b) as above with \(\lambda\) always set to \(1\). The other method is a global strategy, which attempts to use the direction implied by \(\delta_n\) in the most efficient way for furthering convergence of the nonlinear problem. This technique is implemented in the second strategy, called Linesearch. This option employs both the \(\alpha\) and \(\beta\) conditions of the Goldstein-Armijo linesearch given in [43] for step 2(b), where \(\lambda\) is chosen to guarantee a sufficient decrease in \(F\) relative to the step length as well as a minimum step length relative to the initial rate of decrease of \(F\). One property of the algorithm is that the full Newton step tends to be taken close to the solution.

KINSOL implements a backtracking algorithm to first find a value \(\lambda\) such that \(u_n + \lambda \delta_n\) satisfies the sufficient decrease condition (or \(\alpha\)-condition)

where \(\alpha = 10^{-4}\). Although backtracking in itself guarantees that the step is not too small, KINSOL secondly relaxes \(\lambda\) to satisfy the so-called \(\beta\)-condition (equivalent to Wolfe’s curvature condition):

where \(\beta = 0.9\). During this second phase, \(\lambda\) is allowed to vary in the interval \([\lambda_{min} , \lambda_{max}]\) where

and \(\lambda_{max}\) corresponds to the maximum feasible step size at the current iteration (typically \(\lambda_{max} = {stepmax} / \|\delta_n\|_{D_u}\)). In the above expressions, \(v^j\) denotes the \(j\)th component of a vector \(v\).

For more details, the reader is referred to [43].

## 7.2.6. Nonlinear iteration stopping criteria

Stopping criteria for the Newton method are applied to both of the nonlinear residual and the step length. For the former, the Newton iteration must pass a stopping test

where ftol is an input scalar tolerance with a default value of \(U^{1/3}\). Here \(U\) is the machine unit roundoff. For the latter, the Newton method will terminate when the maximum scaled step is below a given tolerance

where steptol is an input scalar tolerance with a default value of \(U^{2/3}\). Only the first condition (small residual) is considered a successful completion of KINSOL. The second condition (small step) may indicate that the iteration is stalled near a point for which the residual is still unacceptable.

## 7.2.7. Additional constraints

As a user option, KINSOL permits the application of inequality constraints, \(u^i > 0\) and \(u^i < 0\), as well as \(u^i \geq 0\) and \(u^i \leq 0\), where \(u^i\) is the \(i\)th component of \(u\). Any such constraint, or no constraint, may be imposed on each component. KINSOL will reduce step lengths in order to ensure that no constraint is violated. Specifically, if a new Newton iterate will violate a constraint, the maximum step length along the Newton direction that will satisfy all constraints is found, and \(\delta_n\) in Step 2(b) is scaled to take a step of that length.

## 7.2.8. Residual monitoring for Modified Newton method

When using a matrix-based linear solver, in addition to the strategy described above for the update of the Jacobian
matrix, KINSOL also provides an optional nonlinear residual monitoring scheme to control when the system Jacobian
is updated. Specifically, a Jacobian update will also occur when `mbsetsub=5`

nonlinear iterations have
passed since the last update and

where \(u_n\) is the current iterate and \(u_m\) is the iterate at the last Jacobian update. The scalar \(\omega\) is given by

with \(\rho\) defined as

where ftol is the input scalar tolerance discussed before. Optionally, a constant value \(\omega_{const}\) can be used for the parameter \(\omega\).

The constants controlling the nonlinear residual monitoring algorithm can be changed from their default values through
optional inputs to KINSOL. These include the parameters \(\omega_{min}\) and \(\omega_{max}\), the
constant value \(\omega_{const}\), and the threshold `mbsetsub`

.

## 7.2.9. Stopping criteria for iterative linear solvers

When using an Inexact Newton method (i.e. when an iterative linear solver is used), the convergence of the overall nonlinear solver is intimately coupled with the accuracy with which the linear solver in 2(a) above is solved. KINSOL provides three options for stopping criteria for the linear system solver, including the two algorithms of Eisenstat and Walker [49]. More precisely, the Krylov iteration must pass a stopping test

where \(\eta_n\) is one of:

- Eisenstat and Walker Choice 1
- \[\eta_n = \frac{\left|\; \|F(u_n)\|_{D_F} - \|F(u_{n-1}) + J(u_{n-1}) \delta_n \|_{D_F} \; \right|} {\|F(u_{n-1})\|_{D_F}} \, ,\]
- Eisenstat and Walker Choice 2
- \[\eta_n = \gamma \left( \frac{ \|F(u_n)\|_{D_F}}{\|F(u_{n-1})\|_{D_F}} \right)^{\alpha} \, ,\]
where default values of \(\gamma\) and \(\alpha\) are \(0.9\) and \(2\), respectively.

- Constant \(\eta\)
- \[\eta_n = \text{constant},\]
with 0.1 as the default.

The default strategy is “Eisenstat and Walker Choice 1”. For both options 1 and 2, appropriate safeguards are incorporated to ensure that \(\eta\) does not decrease too quickly [49].

## 7.2.10. Difference quotient Jacobian approximations

With the SUNMATRIX_DENSE and SUNMATRIX_BAND matrix modules, the Jacobian may be supplied by a user routine, or approximated by difference quotients, at the user’s option. In the latter case, we use the usual approximation

The increments \(\sigma_j\) are given by

In the dense case, this scheme requires \(N\) evaluations of \(F\), one for each column of \(J\). In the
band case, the columns of \(J\) are computed in groups, by the Curtis-Powell-Reid algorithm, with the number of
\(F\) evaluations equal to the bandwidth. The parameter \(U\) above can (optionally) be replaced by a
user-specified value, `relfunc`

.

We note that with sparse and user-supplied matrix-based linear solvers, the Jacobian *must* be supplied by a user
routine, i.e. it is not approximated internally within KINSOL.

In the case of a matrix-free iterative linear solver, Jacobian information is needed only as matrix-vector products \(Jv\). If a routine for \(Jv\) is not supplied, these products are approximated by directional difference quotients as

where \(u\) is the current approximation to a root of (7.1), and \(\sigma\) is a scalar. The choice of \(\sigma\) is taken from [25] and is given by

where \(u_{typ}\) is a vector of typical values for the absolute values of the solution (and can be taken to be
inverses of the scale factors given for \(u\) as described below). This formula is suitable for *scaled* vectors
\(u\) and \(v\), and so is applied to \(D_u u\) and \(D_u v\). The parameter \(U\) above can
(optionally) be replaced by a user-specified value, `relfunc`

. Convergence of the Newton method is maintained as long
as the value of \(\sigma\) remains appropriately small, as shown in [20].

## 7.2.11. Basic Fixed Point iteration

The basic fixed-point iteration scheme implemented in KINSOL is given by:

Set \(u_0 =\) an initial guess

For \(n = 0, 1, 2,...\) until convergence do:

Set \(u_{n+1} = (1 - \beta) u_n + \beta G(u_n)\).

Test for convergence.

Here, \(u_n\) is the \(n\)-th iterate to \(u\). At each stage in the iteration process, the function \(G\) is applied to the current iterate with the damping parameter \(\beta\) to produce a new iterate, \(u_{n+1}\). A test for convergence is made before the iteration continues.

For Picard iteration, as implemented in KINSOL, we consider a special form of the nonlinear function \(F\), such that \(F(u) = Lu - N(u)\), where \(L\) is a constant nonsingular matrix and \(N\) is (in general) nonlinear. Then the fixed-point function \(G\) is defined as \(G(u) = u - L^{-1}F(u)\). The Picard iteration is given by:

Set \(u_0 =\) an initial guess

For \(n = 0, 1, 2,...\) until convergence do:

Set \(u_{n+1} = (1 - \beta) u_n + \beta G(u_n)\) where \(G(u_n) \equiv u_n - L^{-1}F(u_n)\).

Test \(F(u_{n+1})\) for convergence.

Here, \(u_n\) is the \(n\)-th iterate to \(u\). Within each iteration, the Picard step is computed then added to \(u_n\) with the damping parameter \(\beta\) to produce the new iterate. Next, the nonlinear residual function is evaluated at the new iterate, and convergence is checked. Noting that \(L^{-1}N(u) = u - L^{-1}F(u)\), the above iteration can be written in the same form as a Newton iteration except that here, \(L\) is in the role of the Jacobian. Within KINSOL, however, we leave this in a fixed-point form as above. For more information, see page 182 of [95].

## 7.2.12. Anderson Acceleration

The Picard and fixed point methods can be significantly accelerated using Anderson’s method [11, 52, 92, 132]. Anderson acceleration can be formulated as follows:

Set \(u_0 =\) an initial guess and \(m \ge 1\)

Set \(u_1 = G(u_0)\)

For \(n = 1, 2,...\) until convergence do:

Set \(m_n = \min\{m,n\}\)

Set \(F_{n} = (f_{n-m_n}, \ldots, f_n)\), where \(f_i=G(u_i)-u_i\)

Determine \(\alpha^{(n)} = (\alpha_0^{(n)}, \ldots, \alpha_{m_n}^{(n)})\) that solves \(\displaystyle\min_\alpha \| F_n \alpha^T \|_2\) such that \(\displaystyle\sum_{i=0}^{m_n} \alpha_i = 1\)

Set \(\displaystyle u_{n+1} = \beta \sum_{i=0}^{m_n} \alpha_i^{(n)} G(u_{n-m_n+i}) + (1-\beta) \sum_{i=0}^{m_n} \alpha_i^{(n)} u_{n-m_{n}+i}\)

Test for convergence

It has been implemented in KINSOL by turning the constrained linear least-squares problem in step 3c into an unconstrained one leading to the algorithm given below:

Set \(u_0 =\) an initial guess and \(m \ge 1\)

Set \(u_1 = G(u_0)\)

For \(n = 1, 2,...\) until convergence do:

Set \(m_n = \min\{m,n\}\)

Set \(\Delta F_{n} = (\Delta f_{n-m_n}, \ldots, \Delta f_{n-1})\), where \(\Delta f_i = f_{i+1} - f_i\) and \(f_i=G(u_i)-u_i\)

Determine \(\gamma^{(n)} = (\gamma_0^{(n)}, \ldots, \gamma_{m_n-1}^{(n)})\) that solves \(\displaystyle\min_\gamma \| f_n - \Delta F_n \gamma^T \|_2\)

Set \(\displaystyle u_{n+1} = G(u_n)-\sum_{i=0}^{m_n-1} \gamma_i^{(n)} \Delta g_{n-m_n+i} - (1-\beta)(f(u_n) - \sum_{i=0}^{m_n-1} \gamma_i^{(n)} \Delta f_{n-m_n+i})\) with \(\Delta g_i = G(u_{i+1}) - G(u_i)\)

Test for convergence

The least-squares problem in 3c is solved by applying a QR factorization to \(\Delta F_n = Q_n R_n\) and solving \(R_n \gamma = Q_n^T f_n\). By default the damping is disabled i.e., \(\beta = 1.0\).

The Anderson acceleration implementation includes an option to delay the start of acceleration until after a given number of initial fixed-point or Picard iterations have been completed. This delay can be beneficial when the underlying method has strong global convergence properties as the initial iterations may help bring the iterates closer to a solution before starting the acceleration.

## 7.2.13. Anderson Acceleration QR Factorization

The default QR factorization routine used in Anderson acceleration is Modified Gram-Schmidt, a stable orthogonalization routine that requires an increasing number of synchronizations per iteration dependent upon the number of vectors being orthgonalized against. While practical use of Anderson acceleration only requires a small number of vectors to be used in the QR factorization, this linearly scaling number of synchronizations per iteration can yield poor performance when Anderson acceleration is performed in a parallel setting. To combat this poor performance, low synchronization QR routines are available to the user, in particular: Inverse Compact WY Modified Gram-Schmidt [10], along with variants of Classical Gram-Schmidt with Reorthogonalization [64]. While all of these QR factorization routines are mathematically equivalent, they do not exhibit the same stability when performed with floating point arithmetic or in a parallel setting.

Inverse Compact WY Modified Gram-Schmidt, which is based on triangular solve variants of Gram-Schmidt that were developed within the context of GMRES, is an option that only requires two synchronizations per iteration. Additionally, it adds a lower triangular solve at every iteration, but this generally does not affect performance due to the system solve being small i.e., the number of vectors being orthgonalized against.

The remaining orthogonalization options are based on and include Classical Gram-Schmidt with Reorthogonalization (CGS-2). CGS-2 only requires three synchronizations per iteration, but does not exhibit the same stability as Modified Gram-Schmidt. Classical Gram-Schmidt with Delayed Reorthogolonization has the same stability as CGS-2, but it reduces the number of synchronizations per iteration to two.

## 7.2.14. Fixed-point - Anderson Acceleration Stopping Criterion

The default stopping criterion is

where \(D_F\) is a user-defined diagonal matrix that can be the identity or a scaling matrix chosen so that the components of \(D_F (G(u)-u)\) have roughly the same order of magnitude. Note that when using Anderson acceleration, convergence is checked after the acceleration is applied.

## 7.2.15. Picard - Anderson Acceleration Stopping Criterion

The default stopping criterion is

where \(D_F\) is a user-defined diagonal matrix that can be the identity or a scaling matrix chosen so that the components of \(D_F F(u)\) have roughly the same order of magnitude. Note that when using Anderson acceleration, convergence is checked after the acceleration is applied.