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arXiv 2312.04776math.NAcs.NA
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某些正规线性系统的重启 Anderson 加速的渐近收敛性

Asymptotic convergence of restarted Anderson acceleration for certain normal linear systems

Oliver A. Krzysik, Hans De Sterck, Adam Smith

AI总结:

本文研究重启大小为一的 Anderson 加速在线性对称或斜对称系统中的渐近收敛性,证明其最坏情况收敛因子严格优于原不动点迭代,并刻画初值依赖关系。

摘要:

Anderson 加速(AA)被广泛用于加速底层不动点迭代 $\bm{x}_{k+1}=\bm{q}(\bm{x}_k)$($k=0,1,\ldots$)的收敛,其中 $\bm{x}_k\in\mathbb{R}^n$,$\bm{q}:\mathbb{R}^n\to\mathbb{R}^n$。尽管 AA 已被广泛使用,但关于它能在多大程度上加速底层不动点迭代,理论上的认识仍相对较少。为此,我们分析了一种重启大小为一的 AA 重启变体,该方法与 GMRES(1) 密切相关。我们考虑 $\bm{q}(\bm{x})=M\bm{x}+\bm{b}$ 的情形,其中矩阵 $M\in\mathbb{R}^{n\times n}$ 为对称矩阵或斜对称矩阵。对于这两类 $M$,我们计算了 AA 方法的最坏情况根平均渐近收敛因子(在对称情形下部分依赖于猜想),证明其严格小于底层不动点迭代的收敛因子。对于对称 $M$,我们表明 AA 残差迭代对应于求解特征向量相关非线性特征值问题(NEPv)的不动点迭代,并说明这如何导致收敛因子强烈依赖于初始迭代,且在某些特殊情形下给出了精确定量。相反,对于斜对称 $M$,我们表明 AA 残差迭代与针对 $M$ 的幂迭代密切相关,并说明这如何使收敛因子独立于初始迭代。文中给出了支持性数值结果,这些结果还表明该理论适用于更一般的非线性 $\bm{q}$ 情形,只要其在不动点处的 Jacobian 为对称或斜对称。

英文摘要:

Anderson acceleration (AA) is widely used for accelerating the convergence of an underlying fixed-point iteration $\bm{x}_{k+1} = \bm{q}( \bm{x}_{k} )$, $k = 0, 1, \ldots$, with $\bm{x}_k \in \mathbb{R}^n$, $\bm{q} \colon \mathbb{R}^n \to \mathbb{R}^n$. Despite AA's widespread use, relatively little is understood theoretically about the extent to which it may accelerate the underlying fixed-point iteration. To this end, we analyze a restarted variant of AA with a restart size of one, a method closely related to GMRES(1). We consider the case of $\bm{q}( \bm{x} ) = M \bm{x} + \bm{b}$ with matrix $M \in \mathbb{R}^{n \times n}$ either symmetric or skew-symmetric. For both classes of $M$ we compute the worst-case root-average asymptotic convergence factor of the AA method, partially relying on conjecture in the symmetric setting, proving that it is strictly smaller than that of the underlying fixed-point iteration. For symmetric $M$, we show that the AA residual iteration corresponds to a fixed-point iteration for solving an eigenvector-dependent nonlinear eigenvalue problem (NEPv), and we show how this can result in the convergence factor strongly depending on the initial iterate, which we quantify exactly in certain special cases. Conversely, for skew-symmetric $M$ we show that the AA residual iteration is closely related to a power iteration for $M$, and how this results in the convergence factor being independent of the initial iterate. Supporting numerical results are given, which also indicate the theory is applicable to the more general setting of nonlinear $\bm{q}$ with Jacobian at the fixed point that is symmetric or skew symmetric.

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