Nonmonotone Globalization for Anderson Acceleration Using Adaptive Regularization

06/03/2020

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by   Wenqing Ouyang, et al.

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Anderson acceleration (AA) is a popular method for accelerating fixed-point iterations, but may suffer from instability and stagnation. We propose a globalization method for AA to improve its stability and achieve global and local convergence. Unlike existing AA globalization approaches that often rely on safeguarding operations and might hinder fast local convergence, we adopt a nonmonotone trust-region framework and introduce an adaptive quadratic regularization together with a tailored acceptance mechanism. We prove global convergence and show that our algorithm attains the same local convergence as AA under appropriate assumptions. The effectiveness of our method is demonstrated in several numerical experiments.