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scipy.optimize.

# KrylovJacobian

class scipy.optimize.KrylovJacobian(rdiff=None, method='lgmres', inner_maxiter=20, inner_M=None, outer_k=10, **kw)

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

  This method is suitable for solving large-scale problems.

  Parameters:
    %(params_basic)s
    rdiff float, optional

      Relative step size to use in numerical differentiation.

    method str or callable, optional

      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`. If a string, needs to be one of: `'lgmres'`, `'gmres'`, `'bicgstab'`, `'cgs'`, `'minres'`, `'tfqmr'`.

      The default is `scipy.sparse.linalg.lgmres`.

    inner_maxiter int, optional

      Parameter to pass to the “inner” Krylov solver: maximum number of iterations. Iteration will stop after maxiter steps even if the specified tolerance has not been achieved.

    inner_M LinearOperator or InverseJacobian

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

          >>> from scipy.optimize import BroydenFirst, KrylovJacobian
          >>> from scipy.optimize 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.

    outer_k int, optional

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

    inner_kwargs kwargs

      Keyword parameters for the “inner” Krylov solver (defined with method). Parameter names must start with the inner_ prefix which will be stripped before passing on the inner method. See, e.g., `scipy.sparse.linalg.gmres` for details.

    %(params_extra)s

  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]

  C. T. Kelley, Solving Nonlinear Equations with Newton’s Method, SIAM, pp.57-83, 2003. DOI:10.1137/1.9780898718898.ch3

  [2]

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

  [3]

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

  Examples

  The following functions define a system of nonlinear equations

      >>> def fun(x):
      ...     return [x[0] + 0.5 * x[1] - 1.0,
      ...             0.5 * (x[1] - x[0]) ** 2]

  A solution can be obtained as follows.

      >>> from scipy import optimize
      >>> sol = optimize.newton_krylov(fun, [0, 0])
      >>> sol
      array([0.66731771, 0.66536458])

  Methods

  aspreconditioner |
  matvec |
  setup |
  solve |
  update |