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arXiv 2007.10853math.NAcs.NA
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奇异严重病态线性方程组的稳定化GMRES方法

A stabilized GMRES method for singular and severely ill-conditioned systems of linear equations

Zeyu Liao, Ken Hayami, Keiichi Morikuni, Jun-Feng Yin

摘要:

考虑用右预条件GMRES(AB-GMRES)求不相容欠定线性方程组的最小范数解。Morikuni博士thesis,2013)表明,对于一些不一致和病态问题,迭代可能会发散。这主要是因为GMRES方法中的Hessenberg矩阵变得非常病态,使得所得三角形系统的向后替换变得数值不稳定。我们提出了一个稳定的GMRES的基础上解决相应的正规方程上述三角系统使用标准的Cholesky分解。这具有向上移动导致不准确解的Hessenberg矩阵的微小奇异值的效果。我们分析了为什么这个方法有效。数值实验表明,该方法不仅适用于AB-GMRES求解欠定组,而且适用于GMRES求解严重病态的线性方程组.

英文摘要:

Consider using the right-preconditioned GMRES (AB-GMRES) for obtaining the minimum-norm solution of inconsistent underdetermined systems of linear equations. Morikuni (Ph.D. thesis, 2013) showed that for some inconsistent and ill-conditioned problems, the iterates may diverge. This is mainly because the Hessenberg matrix in the GMRES method becomes very ill-conditioned so that the backward substitution of the resulting triangular system becomes numerically unstable. We propose a stabilized GMRES based on solving the normal equations corresponding to the above triangular system using the standard Cholesky decomposition. This has the effect of shifting upwards the tiny singular values of the Hessenberg matrix which lead to an inaccurate solution. We analyze why the method works. Numerical experiments show that the proposed method is robust and efficient, not only for applying AB-GMRES to underdetermined systems, but also for applying GMRES to severely ill-conditioned range-symmetric systems of linear equations.

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