A spectral projection preconditioner for solving ill conditioned linear systems

We present a preconditioner based on spectral projection that is combined with a deflated Krylov subspace method for solving ill conditioned linear systems of equations. Our results show that the proposed algorithm requires many fewer iterations to achieve the convergence criterion for solving an ill conditioned problem than a Krylov subspace solver. In our numerical experiments, the solution obtained by the proposed algorithm is more accurate in terms of the norm of the distance to the exact solution of the linear system of equations.

[1]  R. Beck,et al.  Graph-Based Algebraic Multigrid for Lagrange-Type Finite Elements on Simplicial Meshes , 1999 .

[2]  Craig C. Douglas A Review of Numerous Parallel Multigrid Methods , 1996, Applications on Advanced Architecture Computers.

[3]  Lois Mansfield Damped Jacobi Preconditioning and Coarse Grid Deflation for Conjugate Gradient Iteration on Parallel Computers , 1991, SIAM J. Sci. Comput..

[4]  P. Wesseling An Introduction to Multigrid Methods , 1992 .

[5]  Raymond H. Chan,et al.  A FEAST algorithm with oblique projection for generalized eigenvalue problems , 2014, Numer. Linear Algebra Appl..

[6]  Craig C. Douglas ABSTRACT MULTI-GRID WITH APPLICATIONS TO ELLIPTIC BOUNDARY-VALUE PROBLEMS , 1984 .

[7]  G. P. Astrakhantsev An iterative method of solving elliptic net problems , 1971 .

[8]  Gundolf Haase A PARALLEL AMG FOR OVERLAPPING AND NON-OVERLAPPING DOMAIN DECOMPOSITION , 2000 .

[9]  F. Chatelin Spectral approximation of linear operators , 2011 .

[10]  Edoardo Di Napoli,et al.  Efficient estimation of eigenvalue counts in an interval , 2013, Numer. Linear Algebra Appl..

[11]  T. Sakurai,et al.  CIRR: a Rayleigh-Ritz type method with contour integral for generalized eigenvalue problems , 2007 .

[12]  Tosio Kato Perturbation theory for linear operators , 1966 .

[13]  Ping Tak Peter Tang,et al.  FEAST As A Subspace Iteration Eigensolver Accelerated By Approximate Spectral Projection , 2013, SIAM J. Matrix Anal. Appl..

[14]  K. Stuben,et al.  Algebraic Multigrid (AMG) : An Introduction With Applications , 2000 .

[15]  Peter M. A. Sloot,et al.  Data through the Computational Lens, Preface for ICCS 2016 , 2016, ICCS.

[16]  Man-Chung Yeung,et al.  ML(n)BiCGStabt: A ML(n)BiCGStab Variant with A-transpose , 2012, 2012 Fourth International Conference on Computational and Information Sciences.

[17]  D. Brandt,et al.  Multi-level adaptive solutions to boundary-value problems math comptr , 1977 .

[18]  Gene H. Golub,et al.  Matrix computations , 1983 .

[19]  T. Sakurai,et al.  A projection method for generalized eigenvalue problems using numerical integration , 2003 .

[20]  Ronald B. Morgan,et al.  GMRES WITH DEFLATED , 2008 .

[21]  Cornelis Vuik,et al.  On deflation and singular symmetric positive semi-definite matrices , 2007 .

[22]  Timothy A. Davis,et al.  The university of Florida sparse matrix collection , 2011, TOMS.

[23]  Wolfgang Hackbusch,et al.  Multi-grid methods and applications , 1985, Springer series in computational mathematics.

[24]  Y. Saad,et al.  GMRES: a generalized minimal residual algorithm for solving nonsymmetric linear systems , 1986 .

[25]  Craig C. Douglas,et al.  On Solving Ill Conditioned Linear Systems , 2016, ICCS.

[26]  J. Ruge,et al.  Efficient solution of finite difference and finite element equations by algebraic multigrid (AMG) , 1984 .

[27]  Tetsuya Sakurai,et al.  Parallel stochastic estimation method of eigenvalue distribution , 2010, JSIAM Lett..

[28]  Cornelis Vuik,et al.  On the Convergence of GMRES with Invariant-Subspace Deflation , 2010 .

[29]  Ulrich Rüde,et al.  Cache Optimization for Structured and Unstructured Grid Multigrid , 2000 .

[30]  Craig C. Douglas,et al.  A Generalized Multigrid Theory in the Style of Standard Iterative Methods , 1994 .

[31]  Yousef Saad,et al.  Iterative methods for sparse linear systems , 2003 .

[32]  R. Fletcher Conjugate gradient methods for indefinite systems , 1976 .

[33]  Ronald B. Morgan,et al.  A Restarted GMRES Method Augmented with Eigenvectors , 1995, SIAM J. Matrix Anal. Appl..

[34]  Martin B. van Gijzen,et al.  IDR(s): A Family of Simple and Fast Algorithms for Solving Large Nonsymmetric Systems of Linear Equations , 2008, SIAM J. Sci. Comput..

[35]  C. W. Groetsch,et al.  Generalized inverses of linear operators , 1977 .

[36]  R. P. Fedorenko The speed of convergence of one iterative process , 1964 .

[37]  Craig C. Douglas,et al.  Madpack: A Family of Abstract Multigrid or Multilevel Solvers , 1995 .

[38]  J. Meijerink,et al.  An Efficient Preconditioned CG Method for the Solution of a Class of Layered Problems with Extreme Contrasts in the Coefficients , 1999 .

[39]  R. P. Fedorenko A relaxation method for solving elliptic difference equations , 1962 .

[40]  N. Bakhvalov On the convergence of a relaxation method with natural constraints on the elliptic operator , 1966 .

[41]  C. Douglas Multi-Grid Algorithms with Applications to Elliptic Boundary Value Problems , 1984 .

[42]  R. Bank,et al.  Sharp Estimates for Multigrid Rates of Convergence with General Smoothing and Acceleration , 1985 .

[43]  R.D. Falgout,et al.  An Introduction to Algebraic Multigrid Computing , 2006, Computing in Science & Engineering.

[44]  R. Nicolaides Deflation of conjugate gradients with applications to boundary value problems , 1987 .

[45]  D. Sorensen Numerical methods for large eigenvalue problems , 2002, Acta Numerica.

[46]  Jörg Liesen,et al.  A Framework for Deflated and Augmented Krylov Subspace Methods , 2012, SIAM J. Matrix Anal. Appl..

[47]  H. V. D. Vorst,et al.  The rate of convergence of Conjugate Gradients , 1986 .

[48]  Cornelis Vuik,et al.  On the Construction of Deflation-Based Preconditioners , 2001, SIAM J. Sci. Comput..

[49]  M. Saunders,et al.  Solution of Sparse Indefinite Systems of Linear Equations , 1975 .

[50]  Eric Polizzi,et al.  A Density Matrix-based Algorithm for Solving Eigenvalue Problems , 2009, ArXiv.

[51]  Y. Saad,et al.  Deflated and Augmented Krylov Subspace Techniques , 1997 .