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Adjoint Broyden a la GMRES
(2007)
It is shown here that a compact storage implementation of a quasi-Newton
method based on the adjoint Broyden update reduces in the affine
case exactly to the well established GMRES procedure. Generally,
storage and linear algebra effort per step are small multiples of $n\cdot k$,
where $n$ is the number of variables and $k$ the number of steps taken
in the current cycle. In the affine case the storage is exactly $(n+k)\cdot k$
and in the nonlinear case the same bound can be achieved if adjoints,
i.e. transposed Jacobian-vector products are available. A
transposed-free variant that relies exclusively on Jacobian-vector
products (or possibly their approximation by divided differences)
requires roughly twice the storage and turns out to be somewhat slower
in our numerical experiments reported at the end.