Compact Quasi-Newton preconditioners for SPD linear systems

Abstract: In this paper preconditioners for the Conjugate Gradient method are studied to solve the Newton system with symmetric positive definite Jacobian. In particular, we define a sequence of preconditioners built by means of SR1 and BFGS low-rank updates. We develop conditions under which the SR1 update maintains the preconditioner SPD. Spectral analysis of the SR1 preconditioned Jacobians shows an improved eigenvalue distribution as the Newton iteration proceeds. A compact matrix formulation of the preconditioner update is developed which reduces the cost of its application and is more suitable for parallel implementation. Some notes on the implementation of the corresponding Inexact Newton method are given and numerical results on a number of model problems illustrate the efficiency of the proposed preconditioners.