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Below are short descriptions of each of the methods to be discussed, along with brief notes on the classification of the methods in terms of the class of matrices for which they are most appropriate. In later sections of this chapter more detailed descriptions of these methods are given.
The Jacobi method is based on solving for every variable locally with respect to the other variables; one iteration of the method corresponds to solving for every variable once. The resulting method is easy to understand and implement, but convergence is slow.
The Gauss-Seidel method is like the Jacobi method, except that it uses updated values as soon as they are available. In general, it will converge faster than the Jacobi method, though still relatively slowly.
Successive Overrelaxation (SOR) can be derived from the Gauss-Seidel method by introducing an extrapolation parameter . For the optimal choice of , SOR converges faster than Gauss-Seidel by an order of magnitude.
Symmetric Successive Overrelaxation (SSOR) has no advantage over SOR as a stand-alone iterative method; however, it is useful as a preconditioner for nonstationary methods.
The conjugate gradient method derives its name from the fact that it generates a sequence of conjugate (or orthogonal) vectors. These vectors are the residuals of the iterates. They are also the gradients of a quadratic functional, the minimization of which is equivalent to solving the linear system. CG is an extremely effective method when the coefficient matrix is symmetric positive definite, since storage for only a limited number of vectors is required.
These methods are computational alternatives for CG for coefficient matrices that are symmetric but possibly indefinite. SYMMLQ will generate the same solution iterates as CG if the coefficient matrix is symmetric positive definite.
These methods are based on the application of the CG method to one of two forms of the normal equations for . CGNE solves the system for and then computes the solution . CGNR solves for the solution vector where . When the coefficient matrix is nonsymmetric and nonsingular, the normal equations matrices and will be symmetric and positive definite, and hence CG can be applied. The convergence may be slow, since the spectrum of the normal equations matrices will be less favorable than the spectrum of .
The Generalized Minimal Residual method computes a sequence of orthogonal vectors (like MINRES), and combines these through a least-squares solve and update. However, unlike MINRES (and CG) it requires storing the whole sequence, so that a large amount of storage is needed. For this reason, restarted versions of this method are used. In restarted versions, computation and storage costs are limited by specifying a fixed number of vectors to be generated. This method is useful for general nonsymmetric matrices.
The Bicongugate Gradient method generates two CG-like sequences of vectors, one based on a system with the original coefficient matrix , and one on . Instead of orthogonalizing each sequence, they are made mutually orthogonal, or ``bi-orthogonal''. This method, like CG, uses limited storage. It is useful when the matrix is nonsymmetric and nonsingular; however, convergence may be irregular, and there is a possibility that the method will break down. BiCG requires a multiplication with the coefficient matrix and with its transpose at each iteration.
The Quasi-Minimal Residual method applies a least-squares solve and update to the BiCG residuals, thereby smoothing out the irregular convergence behavior of BiCG. QMR largely avoids the breakdown that can occur in BiCG.
The Conjugate Gradient Squared method is a variant of BiCG that applies the updating operations for the -sequence and the -sequences both to the same vectors. Ideally, this would double the convergence rate, but in practice convergence may be much more irregular than for BiCG. An added practical advantage is that the method does not need the multiplications with the transpose of the coefficient matrix.
The Biconjugate Gradient Stabilized method is a variant of BiCG, like CGS, but using different updates for the -sequence in order to obtain smoother convergence than CGS.
The Chebyshev Iteration recursively determines polynomials with coefficients chosen to minimize the norm of the residual in a min-max sense. The coefficient matrix must be positive definite and knowledge of the extremal eigenvalues is required. This method has the advantage of requiring no inner products.