Questions tagged [linear-algebra]

Questions on the algorithmic/computational aspects of linear algebra, including the solution of linear systems, least squares problems, eigenproblems, and other such matters.

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23
votes
4answers
4k views

When do orthogonal transformations outperform Gaussian elimination?

As we know, orthogonal transformations methods (Givens rotations and Housholder reflections) for systems of linear equations are more expensive than Gaussian elimination, but theoretically have nicer ...
37
votes
4answers
31k views

How does the MATLAB backslash operator solve $Ax=b$ for square matrices?

I was comparing a few of my codes to "stock" MATLAB codes. I am surprised at the results. I ran a sample code (Sparse Matrix) ...
3
votes
1answer
2k views

Problems running a PETSc example in parallel

After configuring and building PETSc, I have successfully been able to run several examples. In particular, I am working with this example. I have been able to run the program using the following ...
6
votes
4answers
279 views

Approximately “solving” a linear system of equations without a feasible solution

A linear system of equations has the form $Ax = b$, where a matrix $A$ and a vector $b$ are given, and I wish to find a solution vector $x$. Suppose that the system $Ax = b$ has no feasible solution. ...
9
votes
2answers
851 views

Which Sparse Matrix Solver Libraries can I run on Android?

The title says most of it. I'm looking for a lightweight and easy-to-use library that I can use for Android (NDK) projects. For dense stuff I like using Eigen but I haven't found many comprehensive (...
7
votes
4answers
2k views

precision vs matrix condition number

I have an application in which I am computing a quantity which is approximated by an average over $M$ points. In theory, the average converges to the correct quantity when $M$ is infinite. In practice,...
2
votes
2answers
989 views

Lanczos solver implementations in MATLAB/C++ give different results

I have transferred my MATLAB Lanczos solver for symmetric eigenvalue solvers to C++ with the help of Intel MKL and MTL4 libraries. I have some wrapper templates for MKL routines. However during the ...
9
votes
1answer
1k views

Schrodinger equation with periodic boundary conditions

I have a couple of questions regarding the following: I am trying to solve the Schrodinger equation in 1D using the crank nicolson discretization followed by inverting the resulting tridiagonal ...
3
votes
1answer
286 views

How to solve a problem with structure similar to a finite difference discretization of the 2D Poisson equation, but with non-symetric coefficients?

Recently, I've been asking about methods to solve a finite difference discretization of the 2D Poisson equation (see here and here) of the form: $$U_{i-1,j} + U_{i+1,j} -4U_{i,j} + U_{i,j-1} + U_{i,...
3
votes
3answers
965 views

What is the best way to solve Ax = b (with A large, spd, sparse, banded and poorly conditioned)?

I'm trying to solve $Ax = b$ given a vector $b$ and a large, symmetric positive definite, sparse, banded matrix $A$ that has a very poor condition number. I know several iterative methods that ...
8
votes
3answers
3k views

Solving a non-symmetric non-diagonally dominant sparse system the best way

I faintly recall from my early "numerics" lectures that iterative linear solvers for $Ax=b$ often require that when $A$ is decomposed as $$A=D + M$$ where D is a diagonal matrix and $M$ has zero ...
17
votes
6answers
1k views

How to reorder variables to produce a banded matrix of minimum bandwidth?

I'm trying to solve a 2D Poisson equation by finite differences. In the process, I obtain a sparse matrix with only $5$ variables in each equation. For example, if the variables were $U$, then the ...
5
votes
2answers
470 views

How to parallelize a banded direct solver?

I have a linear system whose matrix that is diagonally dominant, non-symmetric, but banded. Since the band-radius is 2 (producing only 5 variables per equation), a banded direct solver (gaussian ...
10
votes
1answer
6k views

Are there any heuristics for optimizing the successive over-relaxation (SOR) method?

As I understand it, successive over relaxation works by choosing a parameter $0\leq\omega\leq2$ and using a linear combination of a (quasi) Gauss-Seidel iteration and the value at the previous ...
15
votes
1answer
2k views

Can a Krylov subspace method be used as a smoother for multigrid?

As far as I am aware, multigrid solvers use iterative smoothers such as Jacobi, Gauss-Seidel, and SOR to dampen the error at various frequencies. Could a Krylov subspace method (like conjugate ...
10
votes
3answers
3k views

How to construct a prolongation and restriction operator for an algebraic multigrid solver?

I am trying to solve a linear system of equations that is sparse, but lacks any kind of banded structure. I have heard that there is a way to extend the principles of a multigrid solver for implicit ...
11
votes
1answer
2k views

How can one parallelize a multigrid method for solving a linear system of equations?

As I understand it, the multigrid method solves a linear system by solving a coarser version of the same problem (there by eliminating low frequency error) then projecting back to the fine grid to ...
3
votes
0answers
114 views

Up-/downdating methods for a series of normal equations

In an application I have to solve a series of positive definite linear systems of the form $A^TA x = A^Tb$ (i.e. normal equations). The next system is obtained from the previous one by adding and/or ...
6
votes
2answers
337 views

What guidelines should I use when choosing a scalable linear solver?

There are many different linear solvers, some which work best for diagonally dominant matrices, some for symmetric, some for positive definite ones, some for banded matrices, etc... There are direct ...
9
votes
3answers
893 views

Iterative methods for indefinite systems without block structure

Indefinite systems of matrices appear for example in the discretization of saddle point problems by mixed finite elements. The system matrix can then be put in the form $$\begin{pmatrix} A & B^t \...
6
votes
3answers
1k views

Krylov Subspace Methods for Dense Systems

I am currently researching on the viability of using KS methods for solving large dense systems. What I wish to prove (or disprove) is that methods like CG, BiCG and QMR are as good (if not better) ...
8
votes
1answer
3k views

What is a good stop criterion when using an iterative method to find eigenvalues?

I read this answer, and realized I have been using the difference between sucessive iterates to define a stop criterion for an iterative method of finding eigenvalues/vectors. What are good stop ...
16
votes
2answers
4k views

Stopping criteria for iterative linear solvers applied to nearly singular systems

Consider $Ax=b$ with $A$ nearly singular which means there is an eigenvalue $\lambda_0$ of $A$ that is very small. The usual stop criterion of an iterative method is based on the residual $r_n:=b-Ax_n$...
4
votes
2answers
193 views

Looking for a mathematical proof of stability in floating point arithmetic of CG - any reference?

I am looking for a reference - paper, book, discussion, anything that has a mathematical proof for stability of the conjugate gradient method in floating point arithmetic. Something similar for ...
27
votes
2answers
12k views

Why is my iterative linear solver not converging?

What can go wrong when using preconditoned Krylov methods from KSP (PETSc's linear solver package) to solve a sparse linear system such as those obtained by discretizing and linearizing partial ...
22
votes
3answers
2k views

Can diagonal plus fixed symmetric linear systems be solved in quadratic time after precomputation?

Is there an $O(n^3+n^2 k)$ method to solve $k$ linear systems of the form $(D_i + A) x_i = b_i$ where $A$ is a fixed SPD matrix and $D_i$ are positive diagonal matrices? For example, if each $D_i$ is ...
4
votes
1answer
94 views

Applicability of combinatorial and support preconditioner

There are several correspondences between matrices and graphs, e.g., each matrix is the adjacancy matrix of a weighted graph. The terms support preconditioner or combinatorial preconditioner refer to ...
9
votes
1answer
278 views

Nested dissection on regular grid

When solving sparse linear systems using direct factorization methods, the ordering strategy used significantly impacts the fill-in factor of non-zero elements in the factors. One such ordering ...
6
votes
2answers
680 views

Is it possible to dynamically resize a sparse matrix in the Petsc library?

This may be a Petsc newbie question, but... I'm using Petsc to solve a large sparse linear system. The initial creation of the matrix is fairly slow, which I'm given to understand is largely due to ...
15
votes
2answers
1k views

Estimation of condition numbers for very large matrices

Which approaches are used in practice for estimating the condition number of large sparse matrices?
162
votes
8answers
126k views

Recommendations for a usable, fast C++ matrix library?

Does anyone have recommendations on a usable, fast C++ matrix library? What I mean by usable is the following: Matrix objects have an intuitive interface (ex.: I can use rows and columns while ...
8
votes
3answers
478 views

What should be the criteria for accepting/rejecting singular values?

I am solving a system using singular value decomposition. The singular values (before scaling) are: ...
8
votes
2answers
201 views

Is there one general approach to build a projection methods for different problems?

My question is probably going to be too general to answer it with a couple words. Could you please suggest a good reading in that case. Projection methods are used to reduce size of the solution space ...
12
votes
3answers
346 views

In what application cases are additive preconditioning schemes superior to multiplicative ones?

In both domain decomposition (DD) and multigrid (MG) methods, one may compose the application of the block updates or coarse corrections as either additive or multiplicative. For pointwise solvers, ...
3
votes
2answers
816 views

Linear regression via SVD not producing best fit with escalating polynomial degree

I am using a basic singular value decomposition (via LAPACK) routine in FORTRAN to solve an overdetermined system in the form of $A\cdot X = B$ where $\mathrm{size}(A) = [m,n]$ with $m > n$. My ...
32
votes
5answers
12k views

Performance differences between ATLAS and MKL?

ATLAS is a free BLAS/LAPACK replacement that tunes itself to the machine when compiled. MKL is the commercial library shipped by Intel. Are these two libraries comparable when it comes to performance, ...
8
votes
1answer
1k views

How can I compute the Schur complement in PETSc?

How can I compute the Schur complement: $$ S = K_{bb} - K_{ba} K_{aa}^{-1} K_{ab} $$ where $$ K=\begin{pmatrix} K_{aa} & K_{ab} \\ K_{ba} & K_{bb} \end{pmatrix} $$ (in some ordering) is a ...
14
votes
3answers
1k views

Why is my parallel solver slower than my sequential solver?

I was playing around with PETSc and noticed that when I run my program with more than one process via MPI it seems to run even slower! How can I check to see what is going on?
12
votes
3answers
1k views

Efficient tridiagonal matrix algorithm implementation

I am solving a physical problem using implicit numerical scheme. This leads me to solving a linear equation with tridiagonal matrix. I've coded this algorithm from Wikipedia. I wonder if there is an ...
21
votes
2answers
9k views

Libraries for solving sparse linear systems

There are a number of different libraries out there that solve a sparse linear system of equations, however I'm finding it difficult to figure out what the differences are. As far as I can tell there ...
52
votes
4answers
7k views

What guidelines should I follow when choosing a sparse linear system solver?

Sparse linear systems turn up with increasing frequency in applications. One has a lot of routines to choose from for solving these systems. At the highest level, there is a watershed between direct (...
15
votes
1answer
4k views

How can I estimate the condition number of a large sparse matrix using PETSc?

I have a PETSc Mat and would like to estimate its condition number.

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