104 research outputs found
Preconditioning complex symmetric linear systems
A new polynomial preconditioner for symmetric complex linear systems based on
Hermitian and skew-Hermitian splitting (HSS) for complex symmetric linear
systems is herein presented. It applies to Conjugate Orthogonal Conjugate
Gradient (COCG) or Conjugate Orthogonal Conjugate Residual (COCR) iterative
solvers and does not require any estimation of the spectrum of the coefficient
matrix. An upper bound of the condition number of the preconditioned linear
system is provided. Moreover, to reduce the computational cost, an inexact
variant based on incomplete Cholesky decomposition or orthogonal polynomials is
proposed. Numerical results show that the present preconditioner and its
inexact variant are efficient and robust solvers for this class of linear
systems. A stability analysis of the method completes the description of the
preconditioner.Comment: 26 pages, 4 figures, 4 table
GMRES-Accelerated ADMM for Quadratic Objectives
We consider the sequence acceleration problem for the alternating direction
method-of-multipliers (ADMM) applied to a class of equality-constrained
problems with strongly convex quadratic objectives, which frequently arise as
the Newton subproblem of interior-point methods. Within this context, the ADMM
update equations are linear, the iterates are confined within a Krylov
subspace, and the General Minimum RESidual (GMRES) algorithm is optimal in its
ability to accelerate convergence. The basic ADMM method solves a
-conditioned problem in iterations. We give
theoretical justification and numerical evidence that the GMRES-accelerated
variant consistently solves the same problem in iterations
for an order-of-magnitude reduction in iterations, despite a worst-case bound
of iterations. The method is shown to be competitive against
standard preconditioned Krylov subspace methods for saddle-point problems. The
method is embedded within SeDuMi, a popular open-source solver for conic
optimization written in MATLAB, and used to solve many large-scale semidefinite
programs with error that decreases like , instead of ,
where is the iteration index.Comment: 31 pages, 7 figures. Accepted for publication in SIAM Journal on
Optimization (SIOPT
Spectral features of matrix-sequences, GLT, symbol, and application in preconditioning Krylov methods, image deblurring, and multigrid algorithms.
The final purpose of any scientific discipline can be regarded as the solution of real-world problems. With this aim, a mathematical modeling of the considered phenomenon is often compulsory. Closed-form solutions of the arising functional equations are usually not available and numerical discretization techniques are required. In this setting, the discretization of an infinite-dimensional linear equation via some linear approximation method, leads to a sequence of linear systems of increasing dimension whose coefficient matrices could inherit a structure from the continuous problem. For instance, the numerical approximation by local methods of constant or nonconstant coefficients systems of Partial Differential Equations (PDEs) over multidimensional domains, gives rise to multilevel block Toeplitz or to Generalized Locally Toeplitz (GLT) sequences, respectively. In the context of structured matrices, the convergence properties of iterative methods, like multigrid or preconditioned Krylov techniques, are strictly related to the notion of symbol, a function whose role relies in describing the asymptotical distribution of the spectrum.
This thesis can be seen as a byproduct of the combined use of powerful tools like symbol, spectral distribution, and GLT, when dealing with the numerical solution of structured linear systems. We approach such an issue both from a theoretical and practical viewpoint. On the one hand, we enlarge some known spectral distribution tools by proving the eigenvalue distribution of matrix-sequences obtained as combination of some algebraic operations on multilevel block Toeplitz matrices. On the other hand, we take advantage of the obtained results for designing efficient preconditioning techniques. Moreover, we focus on the numerical solution of structured linear systems coming from the following applications: image deblurring, fractional diffusion equations, and coupled PDEs. A spectral analysis of the arising structured sequences allows us either to study the convergence and predict the behavior of preconditioned Krylov and multigrid methods applied to the coefficient matrices, or to design effective preconditioners and multigrid solvers for the associated linear systems
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