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Describe the proposal
We use a variety of residual-based convergence criteria for the Newton-Raphson solver in the radiation code. This has failed in problems where the residual is badly scaled.
There is a semi-rigorous way to decide convergence that bounds the distance from the true solution described in detail in section 3 of Shampine (1980): https://epubs.siam.org/doi/10.1137/0901005.
If you know both the contraction factor $r$ and the difference in successive iterates, you can bound the difference of the current guess $y^{m+1}$ from the exact solution $y^{\star}$ (see Equation 13):
The naive estimate of the contraction factor $r$ is that available from the most recent iterates $r_m$:
This provides a lower bound on $r$. However, the problem is that a mathematically rigorous upper bound on the contraction factor $r$ is not computable from the iterates (that requires bounds on the norm of the derivative of the function or a Lipschitz constant [1][2][3][4]). ("In general, we must anticipate the possibility that $r_m$ is is a misleading estimate for $r$ and in particular, could be too small.")
Nonetheless, Shampine advocates that a reasonably robust estimate of $r$ can be computed, if you do so carefully: "It is far safer to presume a contraction with rate $r$ from the initial point $y_0$ and to use the largest observed $r_m$ as the best estimate for $r$ available." This appears to be worth trying.
Describe alternatives you've considered
Keep existing ad-hoc criteria.
Additional context
Convergence often fails when the ratio of the heat capacity of radiation and matter is $\gtrsim 15$ orders of magnitude. In this case, we have found that the residual is badly scaled. However, this may also indicate a numerical precision limitation.
There are theorems for exact error bounds, but they require bounds on the derivative of $f$ (or a Lipschitz constant) [1][2][3][4].
BenWibking
changed the title
replace iterative convergence criteria with Shampine algorithm
replace residual-based convergence criteria with Shampine algorithm
Feb 20, 2025
Describe the proposal
We use a variety of residual-based convergence criteria for the Newton-Raphson solver in the radiation code. This has failed in problems where the residual is badly scaled.
There is a semi-rigorous way to decide convergence that bounds the distance from the true solution described in detail in section 3 of Shampine (1980): https://epubs.siam.org/doi/10.1137/0901005.
If you know both the contraction factor$r$ and the difference in successive iterates, you can bound the difference of the current guess $y^{m+1}$ from the exact solution $y^{\star}$ (see Equation 13):
The naive estimate of the contraction factor$r$ is that available from the most recent iterates $r_m$ :
This provides a lower bound on$r$ . However, the problem is that a mathematically rigorous upper bound on the contraction factor $r$ is not computable from the iterates (that requires bounds on the norm of the derivative of the function or a Lipschitz constant [1][2][3][4]). ("In general, we must anticipate the possibility that $r_m$ is is a misleading estimate for $r$ and in particular, could be too small.")
Nonetheless, Shampine advocates that a reasonably robust estimate of$r$ can be computed, if you do so carefully: "It is far safer to presume a contraction with rate $r$ from the initial point $y_0$ and to use the largest observed $r_m$ as the best estimate for $r$ available." This appears to be worth trying.
Describe alternatives you've considered
Keep existing ad-hoc criteria.
Additional context$\gtrsim 15$ orders of magnitude. In this case, we have found that the residual is badly scaled. However, this may also indicate a numerical precision limitation.
Convergence often fails when the ratio of the heat capacity of radiation and matter is
There are theorems for exact error bounds, but they require bounds on the derivative of$f$ (or a Lipschitz constant) [1][2][3][4].
[1] https://en.wikipedia.org/wiki/Kantorovich_theorem
[2] https://link.springer.com/article/10.1007/BF01463998
[3] https://epubs.siam.org/doi/10.1137/0711002
[4] https://link.springer.com/article/10.1007/BF01389624
cc @chongchonghe @markkrumholz
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