On Modifying Singular Values to Solve Possible Singular Systems of Non-Linear Equations / David M. Gay.

By:

Gay, David M

Contributor(s):

National Bureau of Economic Research

Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w0125.Publication details: Cambridge, Mass. National Bureau of Economic Research 1976.Description: 1 online resource: illustrations (black and white)Online resources:

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Abstract: We show that if a certain nondegeneracy assumption holds, it is possible to guarantee the existence of a solution to a system of nonlinear equations f(x) = 0 whose Jacobian matrix J(x) exists but maybe singular. The main idea is to modify small singular values of J(x) in such away that the modified Jacobian matrix J^(x) has a continuous pseudoinverse J^+(x)and that a solution x* of f(x) = 0 may be found by determining an asymptote of the solution to the initial value problem x(0) = x[sub0}, xâ€™(t) = -J^+(x)f(x). We briefly discuss practical (algorithmic) implications of this result. Although the nondegeneracy assumption may fail for many systems of interest (indeed, if the assumption holds and J(x*) is non-singular, then x is unique), algorithms using(x) may enjoy a larger region of convergence than those that require(an approximation to) J[to the -1 power[(x).

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March 1976.

We show that if a certain nondegeneracy assumption holds, it is possible to guarantee the existence of a solution to a system of nonlinear equations f(x) = 0 whose Jacobian matrix J(x) exists but maybe singular. The main idea is to modify small singular values of J(x) in such away that the modified Jacobian matrix J^(x) has a continuous pseudoinverse J^+(x)and that a solution x* of f(x) = 0 may be found by determining an asymptote of the solution to the initial value problem x(0) = x[sub0}, xâ€™(t) = -J^+(x)f(x). We briefly discuss practical (algorithmic) implications of this result. Although the nondegeneracy assumption may fail for many systems of interest (indeed, if the assumption holds and J(x*) is non-singular, then x is unique), algorithms using(x) may enjoy a larger region of convergence than those that require(an approximation to) J[to the -1 power[(x).