Author: Tim Kelley - Department of Mathematics - North Carolina State University
Title: Pseudo-Transient Continuation
Tim Kelley serves on the editorial board of SIAM Journal on Optimization. He is the author of three books, Solving Nonlinear Equations with Newton's Method', 'Iterative Methods for Linear and Nonlinear Equations' and 'Iterative Methods for Optimization, (all published by SIAM) as well as the author of over 100 peer-reviewed publications, some of which are the seminal publication for the topic.
Pseudo-transient continuation is a method for finding dynamically stable solutions of nonlinear equations. The approach mimics temporal integration, but uses large time steps toward the end of avoiding the cost of a fully time-accurate simulation. In this talk we will compare pseudo-transient continuation to conventional damped Newton method approaches, discuss convergence results and time step control, explain how one can use it for optimization, and present some examples.