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    Pages Lin Solv

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    Linear /solvers

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    Chapter 19 Linear Algebraic Solvers and Eigenvalue Analysis Henk A. van der Vorst Utrecht University, Utrecht, The Netherlands 1 Introduction 551 2 Mathematical Preliminaries 551 3 Direct Methods for Linear Systems 553 4 Preconditioning 560 5 Incomplete LU Factorizations 562 6 Methods for the Complete Eigenproblem 567 7 Iterative Methods for the Eigenproblem om Notes 374 References 315 1 INTRODUCTION In this chapter, an overview of the most widely used numerical methods for the solution of Linear systems of ‘equations and for eigenproblems is presented. For linear systems Ax = b, with A a real square non- singular n x n matrix, direct solution methods and iterative methods are discussed, The direct methods are variations ‘on Gaussian elimination, The iterative methods are the s0- called Krylov projection~type methods, and they include popular methods such as Conjugate Gradients, MINRES, Bi-Conjugate Gradients, QMR, BE-CGSTAB, and GMRES, Iterative methods are often used in combination with the so-called preconditioning operators (easily invertible approximations for the operator ofthe system to be solved), We will give a brief overview of the various preconditioners that exist, For the eigenproblems of the type Ax = Xx, the QR method, which is often considered to be a direct method Encyclopedia of Computational Mechanics, Edited by Erwin Stein, René de Borst and Thomas J.R. Hughes. Volume I: Funda- ‘mentals. € 2004 John Wiley & Sons, Ltd. ISBN: 0-470-84609-0, because of its very fast convergence, is discussed, Strictly, speaking, there are no direct methods for the eigenprob- Jem; all methods are necessarily iterative. The QR method is expensive for larger values of n, and for these larger values, a number of iterative methods, including the Lanc- zo8 method, Arnoldi’s method, and the Jacobi~Davidson method are presented, For a general background on linear algebra for numerical applications, see Golub and Van Loan (1996) and Stewart (1998). Modem iterative methods for linear systems are discussed in van der Vorst (2003). A basic introduction with simple software 1s presented In Barett er al, (1994), ‘A complete overview of algorithms for elgenproblems, including pointers to software, is given in Bai et al. (2000), Implementation aspects for high-performance computers are discussed in detail in Dongarra et al, (1998). Some useful state-of-the-art papers have appeared; we ‘mention papers on the history of iterative methods by Golub, and van der Vorst (2000) and Saad and van der Vorst (2000), An overview on parallelizable aspects of sparse ‘matrix techniques is presented in Duff and van der Vorst (1999), A state-of-the-art overview for preconditioners is ‘presented in Benzi (2002). ‘The purpose of this chapter isto make the reader familiar with the ideas and the usage of iterative methods, We expect that guided with sufficient knowledge about the background of iterative methods, one will be able to make a proper choice for a particular class of problems. It will also provide guidance on how to tine these methods, in perticular, for the selection or construction of effective preconditioners, 2. MATHEMATICAL PRELIMINARIES In this section, some basic notions and notations on linear systems and eigenproblems have been collected. 552 _Linear Algebraic Solvers and Eigenvalue Analysis, 2.1 Matrices and vectors ‘We will be concerned with linear systems Ax = b, where Ais usually ann x m matrix: AeR™ ‘The elements of A will be denoted as a, ). The vectors = (Xp, -+4,%,)7 and b belong to the linear space R*. Sometimes we will admit complex matrices A € C™** and vectors x, b € C%, but that will be explicitly mentioned Over the space R", we will use the Euclidean inner product between two vectors x and y: and for v,w €C%, we use the standard complex inner product 2 ‘These inner products lead to the 2-norm or Euclidean length of a vector Wl, = Vee forx eR lvl, = VOR for vec With these norms, we can associate a 2-norm for matrices: for A € R"™*", its associated 2-norm [|All is defined as yl vento Nylh Ala = and in the complex case, similarly, using the complex inner product. This matrix norm gives the maximal length ‘multiplication effect of A on a vector (where the length is defined by the given norm). ‘The associated matrix norms are convenient because they can be used to bound products. For Ae R™#, BERE™, wwe have that NABI; $ IAI BU, in particular, Daz < lAllallzlh, ‘The inverse of a nonsingular matrix A is denoted as A~!. Particularly useful is the condition number of a square nonsingular matrix A defined as (A) = [AlAs ‘The condition number is used to characterize the sensitivity of the solution x of Ax = b with respect to perturbations in b and A. For perturbed systems, we have the following theorem, ‘Theorem 1 (Golub and Van Loan, 1996; Th. 2.7.2) Suppose Ar=b, AERP", 0¢bER" (A+ DAy= b+ Ab, AAER™, AbeR™ with Ally = ¢|IAy and [LAbIy < elbla. Ifee(A) = 1 <1, then A+ A is nonsingular and iy =a lh With the superscript 7, we denote the transpose of a matrix (or vector): for Ae R™*, the matix B= AT € RP" js defined by If E <0", then the superscript # is used to denote its complex conjugate F = EY, defined as fi Sometimes, the superscript 7 is used for complex matrices in order to denote the transpose of a complex matrix. ‘The matrix A is symmetric if A = AT, and BEC is Hermitian if B = BS, Hermitian matrices have the attrac- live property that their spectrum is real. In particular, Hermitian (or symmettic real) matrices that are positive- definite are attractive because they can be solved rather easily by proper iterative methods (the CG method). A Hermitian matrix Ae C™" is positive-definite if attr > 0 for all 0 2x. C*. A positive-definite Hermi- tian matrix has only positive real eigenvalues, ‘We will encounter some special matrix forms, in parti ular tridiagonal matrices and (upper) Hessenberg matzices. The matrix T = (¢,;) €R"™" will be called ridiagonal, if all elements for which |i ~ j| > 1 are zero. It is called upper Hessenberg if all elements for which i > j-+1 are zero. In the context of Krylov subspaces, these matrices are often (k-+ 1) x & and they will then be denoted a8 Ty. 2.2. Higenvalues and eigenvectors For purposes of analysis, it is often helpfl or instructive to transform a given matrix to an easier form, for instance, diagonal oF upper triangular form. ‘The easiest situation is the symmetric case: for a real symmetric matrix, there exists an orthogonal mattix Q < R™*, so that QTAQ = D, where D ¢ BY" is a diagonal ‘matrix. The diagonal elements of D are the eigenvalues of ‘A, and the columns of Q are the corresponding eigenvectors of A. Note that the eigenvalues and eigenvectors of A are all real. IFA € C™*" is Hermitian (A = AY), then there exist Q € C™" and a diagonal matrix D €R™, so that Q#Q = 1 and Q#AQ = D. This means that the eigenvalues of a Hermitian matrix are all real, but its eigenvectors may be ‘complex. ‘Unsymmetric matrices do not, in general, have an ortho- normal set of eigenvectors and may not have a complete set of eigenvectors, but they can be transformed unitarily to Schur form: QAQ=R in which R is upper triangular. If the matrix A is complex, then the mattices Q and R may be complex as well. However, they may be complex even when A is real unsymmetric. It may then be advan- tageous to work in real arithmetic. This can be realized because of the existence of the real Schur decomposition. If A €R™*, then it can be transformed with an orthonormal QeR™ as oAg= with Rs > R, R= erm 0 0 Ruy Bach R,, is either 1x 1 or a 2 x 2 (real) matrix having complex conjugate eigenvalues. For a proof of this, see Golub and Van Loan (1996, Chapter 7.4.1). This form of referred to as an upper quasi-triangular matrix. If all eigenvalues are distinct, then there exists a nonsin- gular matrix X Gin general not orthogonal) that transforms A to diagonal form: XTAX=D ‘A general matrix can be transformed to Jordan form with a nonsingular X: XTMAX = diag, doy. JD) Linear Algebraic Solvers and Eigenvalue Analysis _553 where ed Oo. 0% Te there isa J, with dimension greater than 1, then the matrix A is defective. In this case, A does not have a complete set of independent eigenvectors. In numerical computations, one may argue that small perturbations lead to different eigenvalues, and hence that it will be unlikely that A has a true Jordan form in actual computation. However, if A is close to a mateix with a nontrivial Jordan block, then this is reflected by a (severely) ill-conditioned eigenvector matrix X. We will also encounter eigenvalues that are called Ritz values. For simplicity, we will introduce them here for the real case. The subspace methods that are collected in this chapter are based on the approach to identify good solutions from certain low-dimensional subspaces V* CR", where k

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