Convergence Analysis for Nonlinear GMRES

Abstract: In this work, we revisit nonlinear generalized minimal residual method (NGMRES) applied to nonlinear problems. NGMRES is used to accelerate the convergence of fixed-point iterations, which can substantially improve the performance of the underlying fixed-point iterations. We consider NGMRES with a finite window size $m$, denoted as NGMRES($m$). However, there is no convergence analysis for NGMRES($m$) applied to nonlinear systems. We prove that for general $m>0$, the residuals of NGMRES($m$) converge r-linearly under some conditions. For $m=0$, we prove that the residuals of NGMRES(0) converge q-linearly.