Some Preconditioning Techniques for Saddle Point Problems

Saddle point problems arise frequently in many applications in science and engineering, including constrained optimization, mixed finite element formulations of partial differential equations, circuit analysis, and so forth. Indeed the formulation of most problems with constraints gives rise to saddle point systems. This paper provides a concise overview of iterative approaches for the solution of such systems which are of particular importance in the context of large scale computation. In particular we describe some of the most useful preconditioning techniques for Krylov subspace solvers applied to saddle point problems, including block and constrained preconditioners.\ud \ud The work of Michele Benzi was supported in part by the National Science Foundation grant DMS-0511336

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

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

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 $\kappa$-conditioned problem in $O(\sqrt{\kappa})$ iterations. We give theoretical justification and numerical evidence that the GMRES-accelerated variant consistently solves the same problem in $O(\kappa^{1/4})$ iterations for an order-of-magnitude reduction in iterations, despite a worst-case bound of $O(\sqrt{\kappa})$ 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 $O(1/k^{2})$, instead of $O(1/k)$, where $k$ is the iteration index.Comment: 31 pages, 7 figures. Accepted for publication in SIAM Journal on Optimization (SIOPT

Factor Fitting, Rank Allocation, and Partitioning in Multilevel Low Rank Matrices

We consider multilevel low rank (MLR) matrices, defined as a row and column permutation of a sum of matrices, each one a block diagonal refinement of the previous one, with all blocks low rank given in factored form. MLR matrices extend low rank matrices but share many of their properties, such as the total storage required and complexity of matrix-vector multiplication. We address three problems that arise in fitting a given matrix by an MLR matrix in the Frobenius norm. The first problem is factor fitting, where we adjust the factors of the MLR matrix. The second is rank allocation, where we choose the ranks of the blocks in each level, subject to the total rank having a given value, which preserves the total storage needed for the MLR matrix. The final problem is to choose the hierarchical partition of rows and columns, along with the ranks and factors. This paper is accompanied by an open source package that implements the proposed methods