Preconditioned Locally Harmonic Residual Method for Computing Interior Eigenpairs of Certain Classes of Hermitian Matrices

We propose a Preconditioned Locally Harmonic Residual (PLHR) method for computing several interior eigenpairs of a generalized Hermitian eigenvalue problem, without traditional spectral transformations, matrix factorizations, or inversions. PLHR is based on a short-term recurrence, easily extended to a block form, computing eigenpairs simultaneously. PLHR can take advantage of Hermitian positive definite preconditioning, e.g., based on an approximate inverse of an absolute value of a shifted matrix, introduced in [SISC, 35 (2013), pp. A696-A718]. Our numerical experiments demonstrate that PLHR is efficient and robust for certain classes of large-scale interior eigenvalue problems, involving Laplacian and Hamiltonian operators, especially if memory requirements are tight

A nonrecursive order N preconditioned conjugate gradient: Range space formulation of MDOF dynamics

While excellent progress has been made in deriving algorithms that are efficient for certain combinations of system topologies and concurrent multiprocessing hardware, several issues must be resolved to incorporate transient simulation in the control design process for large space structures. Specifically, strategies must be developed that are applicable to systems with numerous degrees of freedom. In addition, the algorithms must have a growth potential in that they must also be amenable to implementation on forthcoming parallel system architectures. For mechanical system simulation, this fact implies that algorithms are required that induce parallelism on a fine scale, suitable for the emerging class of highly parallel processors; and transient simulation methods must be automatically load balancing for a wider collection of system topologies and hardware configurations. These problems are addressed by employing a combination range space/preconditioned conjugate gradient formulation of multi-degree-of-freedom dynamics. The method described has several advantages. In a sequential computing environment, the method has the features that: by employing regular ordering of the system connectivity graph, an extremely efficient preconditioner can be derived from the 'range space metric', as opposed to the system coefficient matrix; because of the effectiveness of the preconditioner, preliminary studies indicate that the method can achieve performance rates that depend linearly upon the number of substructures, hence the title 'Order N'; and the method is non-assembling. Furthermore, the approach is promising as a potential parallel processing algorithm in that the method exhibits a fine parallel granularity suitable for a wide collection of combinations of physical system topologies/computer architectures; and the method is easily load balanced among processors, and does not rely upon system topology to induce parallelism

Preconditioning issues in the numerical solution of nonlinear equations and nonlinear least squares

Second order methods for optimization call for the solution of sequences of linear systems. In this survey we will discuss several issues related to the preconditioning of such sequences. Covered topics include both techniques for building updates of factorized preconditioners and quasi-Newton approaches. Sequences of unsymmetric linear systems arising in Newton-Krylov methods will be considered as well as symmetric positive definite sequences arising in the solution of nonlinear least-squares by Truncated Gauss-Newton methods

Block recursive LU preconditioners for the thermally coupled incompressible inductionless MHD problem

The thermally coupled incompressible inductionless magnetohydrodynamics (MHD) problem models the ow of an electrically charged fuid under the in uence of an external electromagnetic eld with thermal coupling. This system of partial di erential equations is strongly coupled and highly nonlinear for real cases of interest. Therefore, fully implicit time integration schemes are very desirable in order to capture the di erent physical scales of the problem at hand. However, solving the multiphysics linear systems of equations resulting from such algorithms is a very challenging task which requires e cient and scalable preconditioners. In this work, a new family of recursive block LU preconditioners is designed and tested for solving the thermally coupled inductionless MHD equations. These preconditioners are obtained after splitting the fully coupled matrix into one-physics problems for every variable (velocity, pressure, current density, electric potential and temperature) that can be optimally solved, e.g., using preconditioned domain decomposition algorithms. The main idea is to arrange the original matrix into an (arbitrary) 2 2 block matrix, and consider a LU preconditioner obtained by approximating the corresponding Schur complement. For every one of the diagonal blocks in the LU preconditioner, if it involves more than one type of unknown, we proceed the same way in a recursive fashion. This approach is stated in an abstract way, and can be straightforwardly applied to other multiphysics problems. Further, we precisely explain a fexible and general software design for the code implementation of this type of preconditioners.Preprin

Composing Scalable Nonlinear Algebraic Solvers

Most efficient linear solvers use composable algorithmic components, with the most common model being the combination of a Krylov accelerator and one or more preconditioners. A similar set of concepts may be used for nonlinear algebraic systems, where nonlinear composition of different nonlinear solvers may significantly improve the time to solution. We describe the basic concepts of nonlinear composition and preconditioning and present a number of solvers applicable to nonlinear partial differential equations. We have developed a software framework in order to easily explore the possible combinations of solvers. We show that the performance gains from using composed solvers can be substantial compared with gains from standard Newton-Krylov methods.Comment: 29 pages, 14 figures, 13 table

Randomized Riemannian Preconditioning for Orthogonality Constrained Problems

Optimization problems with (generalized) orthogonality constraints are prevalent across science and engineering. For example, in computational science they arise in the symmetric (generalized) eigenvalue problem, in nonlinear eigenvalue problems, and in electronic structures computations, to name a few problems. In statistics and machine learning, they arise, for example, in canonical correlation analysis and in linear discriminant analysis. In this article, we consider using randomized preconditioning in the context of optimization problems with generalized orthogonality constraints. Our proposed algorithms are based on Riemannian optimization on the generalized Stiefel manifold equipped with a non-standard preconditioned geometry, which necessitates development of the geometric components necessary for developing algorithms based on this approach. Furthermore, we perform asymptotic convergence analysis of the preconditioned algorithms which help to characterize the quality of a given preconditioner using second-order information. Finally, for the problems of canonical correlation analysis and linear discriminant analysis, we develop randomized preconditioners along with corresponding bounds on the relevant condition number

A universal matrix-free split preconditioner for the fixed-point iterative solution of non-symmetric linear systems

We present an efficient preconditioner for linear problems $A x=y$. It guarantees monotonic convergence of the memory-efficient fixed-point iteration for all accretive systems of the form $A = L + V$, where $L$ is an approximation of $A$, and the system is scaled so that the discrepancy is bounded with $\lVert V \rVert<1$. In contrast to common splitting preconditioners, our approach is not restricted to any particular splitting. Therefore, the approximate problem can be chosen so that an analytic solution is available to efficiently evaluate the preconditioner. We prove that the only preconditioner with this property has the form $(L+I)(I - V)^{-1}$. This unique form moreover permits the elimination of the forward problem from the preconditioned system, often halving the time required per iteration. We demonstrate and evaluate our approach for wave problems, diffusion problems, and pantograph delay differential equations. With the latter we show how the method extends to general, not necessarily accretive, linear systems.Comment: Rewritten version, includes efficiency comparison with shift preconditioner by Bai et al, which is shown to be a special cas