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A Brief Survey of Iterative Linear Solvers
  H. van der Vorst

In the context of eigenproblems it may be necessary to solve a linear system, for instance, in the following situations:

In all these cases, one has to solve a linear system with a shifted matrix $A-\theta I$, sometimes embedded in projections as in the Jacobi-Davidson methods. If such systems have to be solved accurately, then direct (sparse) solvers may be considered first. Often one has to solve more than one system with the same shifted matrix, which helps to amortize large costs involved in making a sparse LU decomposition. If the systems need not be solved accurately, or if direct solution methods are too expensive, then iterative methods may be considered. A set of popular iteration methods has been described in Templates for the Solution of Linear Systems [41]. Before we present a short overview, we warn the reader that the linear systems related to eigenproblems usually have an indefinite matrix, because of the involved shift. If the shift is near an exterior eigenvalue, then this is not necessarily an obstacle in all cases, but there will certainly be convergence problems for interior shifts. Also, when the shift is very close to an eigenvalue, for instance, if one wants to determine a left or right eigenvalue, then one should realize that iterative methods have great difficulty solving almost singular systems. This holds in particular for the situations of interest, where one is interested in the (almost) singular directions, as is the case in inverse iteration for left and right eigenvectors. It is commonly accepted that iterative methods need efficient preconditioners in order to be attractive. This is in particular the case for shifted matrices. Unfortunately, the construction of effective preconditioners for indefinite matrices is slippery ground to treat upon. See Chapter 11 for more on this.

The currently most popular iterative methods belong to the class of Krylov subspace methods. These methods construct approximations for the solution from the so-called Krylov subspace. The Krylov subspace ${\cal K}^i(A;r_0)$ of dimension $i$, associated with a linear system $Ax=b$ (where $A$ and $b$ may be the preconditioned values, if preconditioning is included) for a starting vector $x_0$ with residual vector $r_0=b-Ax_0$ is defined as the subspace spanned by the vectors {$r_0$, $Ar_0$, $A^2r_0, \ldots, A^{i-1}r_0$}.

The different methods can be classified as follows:

If $A$ is symmetric positive definite, then the conjugate gradient method [226] generates, using two-term recurrences, the $x_i$ for which $(x-x_i,A(x-x_i))$ (the so-called $A$-norm or energy norm) is minimized over all vectors in the current Krylov subspace ${\cal K}^i(A;r_0)$.
If $A$ is only symmetric but not positive definite, then the Lanczos [286] and the MINRES methods [350] may be considered. In MINRES, the $x_i \in {\cal K}^i(A;r_0)$ is determined for which the 2-norm of the residual ($\Vert b-Ax_i\Vert _2$) is minimized, while the Lanczos method leads to an $x_i$ for which $b-Ax_i$ is perpendicular to the Krylov subspace.
If $A$ is unsymmetric, it is in general not possible to determine an optimal $x_i\in K^i(A,r_0)$ with short recurrences. This was proved in [163]. However, with short recurrences as in conjugate gradients (and MINRES), we can compute the $x_i \in {\cal K}^i(A;r_0)$, for which $b-Ax_i\perp {\cal K}^i(A^T;s_0)$ (usually, one selects $s_0=r_0$). This leads to the bi-conjugate gradient method [169]. A clever variant is quasi-minimal residual (QMR) [179], which has smoother convergence behavior and is more robust than bi-conjugate gradients.
If $A$ is unsymmetric, then we can compute the $x_i\in {\cal K}^i(A,r_0)$, for which the residual is minimized in the Euclidean norm. This is done by the GMRES method [389]. This requires $i$ inner products at the $i$th iteration step, as well as $i$ vector updates, which means that the iteration costs, that come in addition to operations with $A$, grow linearly with $i$.
The operations with $A^T$ in the bi-conjugate gradient method can be replaced by operations with $A$ itself, by using the observation that $\langle x,A^Ty \rangle$ equals $\langle Ax,y \rangle$, where $\langle\ldots\rangle$ represents the inner-product computation. Since the function of the multiplications by $A^T$ in bi-conjugate gradient serves only to maintain the dual space to which residuals are orthogonalized, the replacement of this operator by $A$ allows us to expand the Krylov subspace and to find better approximations for virtually the same costs per iteration as for bi-conjugate gradients. This leads to so-called hybrid methods such as conjugate gradients squared [418], Bi-CGSTAB [445], Bi-CGSTAB($\ell$) [409], TFQMR [174], and hybrids of QMR [78].
For indefinite systems it may also be effective to apply the conjugate gradient method for the normal equations $A^TAx=A^Tb$. Carrying this out in a straight-forward manner may lead to numerical instabilities, because $A^TA$ has a squared condition number. A clever and robust implementation is provided in least squares QR [351].
Many of these methods have been described in [41], and software for them is available. See this book's homepage, ETHOME, for guidelines on how to obtain the software. For some methods, descriptions in templates style have been given in [135]. That book also contains an overview on various preconditioning approaches.

next up previous contents index
Next: Parallelism   J. Dongarra and Up: Common Issues Previous: Direct Solvers for Structured   Contents   Index
Susan Blackford 2000-11-20