1,329 research outputs found
Properties of worst-case GMRES
In the convergence analysis of the GMRES method for a given matrix , one quantity of interest is the largest possible residual norm that can be attained, at a given iteration step , over all unit norm initial vectors. This quantity is called the worst-case GMRES residual norm for and . We show that the worst-case behavior of GMRES for the matrices and is the same, and we analyze properties of initial vectors for which the worst-case residual norm is attained. In particular, we prove that such vectors satisfy a certain “cross equality.” We show that the worst-case GMRES polynomial may not be uniquely determined, and we consider the relation between the worst-case and the ideal GMRES approximations, giving new examples in which the inequality between the two quantities is strict at all iteration steps . Finally, we give a complete characterization of how the values of the approximation problems change in the context of worst-case and ideal GMRES for a real matrix, when one considers complex (rather than real) polynomials and initial vectors
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
Evaluating the Impact of SDC on the GMRES Iterative Solver
Increasing parallelism and transistor density, along with increasingly
tighter energy and peak power constraints, may force exposure of occasionally
incorrect computation or storage to application codes. Silent data corruption
(SDC) will likely be infrequent, yet one SDC suffices to make numerical
algorithms like iterative linear solvers cease progress towards the correct
answer. Thus, we focus on resilience of the iterative linear solver GMRES to a
single transient SDC. We derive inexpensive checks to detect the effects of an
SDC in GMRES that work for a more general SDC model than presuming a bit flip.
Our experiments show that when GMRES is used as the inner solver of an
inner-outer iteration, it can "run through" SDC of almost any magnitude in the
computationally intensive orthogonalization phase. That is, it gets the right
answer using faulty data without any required roll back. Those SDCs which it
cannot run through, get caught by our detection scheme
Resilience in Numerical Methods: A Position on Fault Models and Methodologies
Future extreme-scale computer systems may expose silent data corruption (SDC)
to applications, in order to save energy or increase performance. However,
resilience research struggles to come up with useful abstract programming
models for reasoning about SDC. Existing work randomly flips bits in running
applications, but this only shows average-case behavior for a low-level,
artificial hardware model. Algorithm developers need to understand worst-case
behavior with the higher-level data types they actually use, in order to make
their algorithms more resilient. Also, we know so little about how SDC may
manifest in future hardware, that it seems premature to draw conclusions about
the average case. We argue instead that numerical algorithms can benefit from a
numerical unreliability fault model, where faults manifest as unbounded
perturbations to floating-point data. Algorithms can use inexpensive "sanity"
checks that bound or exclude error in the results of computations. Given a
selective reliability programming model that requires reliability only when and
where needed, such checks can make algorithms reliable despite unbounded
faults. Sanity checks, and in general a healthy skepticism about the
correctness of subroutines, are wise even if hardware is perfectly reliable.Comment: Position Pape
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