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An iterative penalty method for the least squares solution of boundary value problems
Author(s) -
Zeitoun D. G.,
Laible J. P.,
Pinder G. F.
Publication year - 1997
Publication title -
numerical methods for partial differential equations
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.901
H-Index - 61
eISSN - 1098-2426
pISSN - 0749-159X
DOI - 10.1002/(sici)1098-2426(199705)13:3<257::aid-num3>3.0.co;2-m
Subject(s) - mathematics , conjugate gradient method , boundary value problem , least squares function approximation , iterative method , penalty method , mathematical optimization , algorithm , mathematical analysis , statistics , estimator
This article is concerned with iterative techniques for linear systems of equations arising from a least squares formulation of boundary value problems. In its classical form, the solution of the least squares method is obtained by solving the traditional normal equation. However, for nonsmooth boundary conditions or in the case of refinement at a selected set of interior points, the matrix associated with the normal equation tends to be ill‐conditioned. In this case, the least squares method may be formulated as a Powell multiplier method and the equations solved iteratively. Therein we use and compare two different iterative algorithms. The first algorithm is the preconditioned conjugate gradient method applied to the normal equation, while the second is a new algorithm based on the Powell method and formulated on the stabilized dual problem. The two algorithms are first compared on a one‐dimensional problem with poorly conditioned matrices. Results show that, for such problems, the new algorithm gives more accurate results. The new algorithm is then applied to a two‐dimensional steady state diffusion problem and a boundary layer problem. A comparison between the least squares method of Bramble and Schatz and the new algorithm demonstrates the ability of the new method to give highly accurate results on the boundary, or at a set of given interior collocation points without the deterioration of the condition number of the matrix. Conditions for convergence of the proposed algorithm are discussed. © 1997 John Wiley & Sons, Inc.