Questions tagged [preconditioning]
For questions regarding design and implementation of preconditioners for solving linear systems.
93
questions
2
votes
0answers
69 views
Numerical linear algebra paper - Confusion about $LDL^T$ factorization for preconditioning
I came across this paper by Simoncini and Popolizio that deals with acceleration techniques in the context of rational Chebychev approximation for the exponential. The problem is to solve efficiently ...
0
votes
0answers
53 views
Preconditioning the $[1 \quad-2 \quad 1]$ Finite Difference matrix
Let $A$ be the well known tridiagonal matrix coming from the 1D Finite difference discretization of the Laplacian, with stencil $\frac{[1 \quad-2 \quad 1]}{h^2}$.
The system $Ax = b$ is very large, so ...
4
votes
1answer
92 views
Non-negative least squares with very small numbers
(I have asked this question on StackOverflow previously but it has been pointed to me that CSSE or MSE could be more appropriate)
I have to solve a constrained optimization problem of the following ...
0
votes
1answer
53 views
Library to solve dense linear system with GMRES
I have a fortran 90 code and I want to solve a dense linear system with GMRES. I would prefer the restarted GMRES with preconditioning. Is there some library that you know of that I could use? Now I ...
3
votes
0answers
62 views
Solving saddle point problem having non-invertible top-left block with a PETSc nested matrix
My system is a symmetric FE problem with lagrange multipliers:
$Z=\begin{pmatrix}A & C^T \\ C & 0\end{pmatrix}$
The matrix $A$ is positive semi-definite, non-invertible. The whole matrix is ...
3
votes
1answer
60 views
Are there any other better methods than block diagnoal and block upper triangular precondtioner for saddle point problems?
For stokes problems,
$$
-\Delta \vec{u} + \nabla p =\vec{f},\qquad \nabla . \vec{u} = 0;
$$
with appropriate boundary conditions which guarantee there is a unique solution.
Using FDM or FEM, ...
1
vote
1answer
40 views
Accelerating Conjugate Gradients fitting for small localized kernel (like cubic B-spline)
Question:
Is there some pre-conditioner for Conjugate-Gradient (CG) cheap enough, that it is worth using even if my operator is very local (i.e. already has a low number of non-zero elements), as it ...
3
votes
1answer
156 views
Why do many people use FDM method to solve Stokes equations, i.e., saddle point matrix?
For numerical methods of the Stokes equations, with appropriate boundary:
$$-\nabla^{2} \vec{u}+\nabla p=\overrightarrow{0}$$
$$\nabla \cdot \vec{u}=0$$
one may use FDM (finite difference method) ...
2
votes
2answers
259 views
Why iterative method: AMG preconditioned PCG is slower than Matlab direct method 'A\b'?
Recently, I have met a question that
a saying goes that for large linear system: iterative methods are required because of memory problem of direct methods.
But when I implement some experiments ...
6
votes
1answer
299 views
Iterative linear solver for “ugly” saddle point system
I am a graduate student majoring scientific computing. The numeric model I made caused a very ugly-looking saddle-point linear system. It is not symmetric at all and I will attach the sparsity pattern ...
1
vote
1answer
90 views
Iterative solution of ill-conditioned matrix systems
I want to solve a matrix system of the form $Ax=b$ where $A$ is ill-conditioned. The matrix system comes from a structural simulation problem which was discretized using finite elements. I do not have ...
6
votes
0answers
66 views
Why not use the preconditioned residual as termination criterion for preconditioned CG?
I have a Poisson equation with wildly varying material parameters (1 .. 1000), wildly varying element sizes (5 nm .. 100 um) and some quite anisotropic (tetrahedral) elements (100 nm x 100 um). I use (...
3
votes
1answer
138 views
Optimality of block-Jacobi preconditioner
For a dense $N \times N$ matrix $A$, is the block-Jacobi preconditioner comprising the inverse of the diagonal blocks of $A$ the optimal block-diagonal preconditioner? Could there exist another matrix ...
1
vote
0answers
54 views
Kinetic preconditioning
Publication arXiv:0804.2583 describes a method for doing self-consistent iteration without having to diagonalize the Hamiltonian operator at every step.
IX. PRECONDITIONING
As already mentioned, ...
7
votes
0answers
80 views
How to construct an effective preconditioner for this particular problem
A quick introduction to my problem
I am currently developing a method for simulation of water waves in three dimensions based on potential flow theory. The computational bottleneck of the method is ...
2
votes
1answer
131 views
Re-using LU factorization within iterative (?) setup for a sum of two matrices
So, I would love to make at least some use of my preexisting data, no matter how small, and just out of ideas. Maybe I am just a prisoner of a Kahneman-like theatre-ticket paradox, and don't know ...
0
votes
1answer
76 views
PCJACOBI works but the default PCBJACOBI failed in PETSc
I am using PETSc and libmesh to solve a simple linear elastic problem with quite complicated geometry, using linear tetrahedral elements. I am always using the KSP CG as the solver.
I noticed that ...
1
vote
1answer
51 views
Simplest way to precondition Uzawa iteration
I have a diffusion problem with an internal circular dirichlet constraint and a side condition which shall enforce a certain global volume integral.
$\nabla(D \nabla u(x)) = 0$
outer boundary ...
2
votes
1answer
66 views
Right-preconditioning and fixed point linear iterations
Given a linear system $A\textbf{x}=\textbf{b}$, we can express it into the easier-to-solve right-preconditioned form:
$$ AM^{-1}\textbf{y}=\textbf{b}, \quad \textbf{y}= M\textbf{x} $$
On the other ...
3
votes
0answers
68 views
Numerical analysis, pivoting and incomplete LU decomposition
When doing LU decomposition, the algorithm will break down if any of the diagonal element $x_{ii}$ is zero. Therefore, we can use pivoting on the matrix such that $x_{ii}$ is no longer zero. That is ...
1
vote
1answer
178 views
Multigrid preconditioner for conjugate gradient methods
When solving $A*x=b$ using preconditioned conjugate gradient methods one has to solve $z=K^{-1}*r$ for the preconditioning where $K$ is the preconditioner of $A$ and $r$ is the residual vector.
...
-4
votes
1answer
106 views
what is Sherman-Morrison formula
Can someone please explain what is the Sherman-Morrison formula and it's specialities when it comes to matrix calculations? I'm a little bit confused on understanding how the preconditioning works ...
3
votes
0answers
74 views
Element Preconditioner
Im just working on a preconditioner for the linear equation system $Ax = b$ arising in FEM for elliptic PDE. $A$ is a s.p.d Matrix with real valued entries. I read something about the element by ...
8
votes
1answer
228 views
How to find a good preconditioner to the system $(A^T A + \lambda I) x = A^T b$?
The system in the title has a damper factor $\lambda > 0$ and the matrix $A$ is sparse and rectangular, with a structure I can exploit to solve matrix vector products very fast. My current solver, ...
3
votes
1answer
166 views
Efficient implementation of preconditioners for iterative solvers
I am struggling a bit with the concept of preconditioners for iterative solvers and how to implement them efficiently. The literature mostly provides methods to create a preconditioner matrix $M$ (...
4
votes
0answers
88 views
Preconditioned residual converges, but true residual doesn't
I'm using Albany w/ Trilinos to solve an elasticity problem with thermal expansion mismatch. I'm using block GMRES with MueLu preconditioning. It works for problem size of several million dofs, but ...
6
votes
1answer
104 views
Eigenvalue problems with extremely small gaps
I'm interested in numerically diagonalizing a class of structured, symmetric eigenvalue problems with potentially extremely small eigenvalue gaps. The question I have is how to design a numerically ...
7
votes
1answer
426 views
How to directly compute the inverse of an ill-conditioned dense matrix
I know that it is generally a bad idea to compute the inverse matrix directly. However, if it is necessary to compute the inverse of an ill-conditioned invertible dense matrix, then what can I try?
...
0
votes
1answer
147 views
How to verify solution to pre-conditioned linear systems solver?
I am solving Ax=b. A has a very large condition number (> O(10^10))
I am using the conjugate gradients method with point jacobi pre-conditioning. I obtained a solution 'x' that "looks" reasonable. ...
1
vote
0answers
239 views
Why does PETSc take unexpectedly long to set up its KSP solver with a custom preconditioner? [closed]
I am attempting to solve a large system, $\bf{Ax} = \bf{b}$ with the help of PETSc. Due to the size of the problem, I'm using a matrix-free approach, where $\bf{A}$ is just a shell. I'm also providing ...
2
votes
2answers
628 views
Correct use of scipy's sparse.linalg.spilu
I'm attempting to use scipy's spilu routine as a preconditioner and I'm finding bad performance for my application (solving a global linear system arising from a DG ...
2
votes
0answers
53 views
Scaling for a nonsymmetric eigenvalue problem
I have an eigenvalue problem emerging from the internal vibro-acoustic coupling.
The eigenvalue problem is nonsymmetric but it was proven in literature that it results in real eigenvalues and ...
2
votes
2answers
153 views
Preconditioner for scalar laplacian system
Suppose that I have a large (on the order of 10^6 unknowns) 3D scalar Poisson system which I would like to precondition. The boundary conditions have been treated so that the system is SPD. I.e.,
$$\...
1
vote
2answers
696 views
Is it necessary to invert precondition matrix for iterative solver?
I was reading these slides about preconditioners. I believe I grasp the idea of how they work but there is something that is still not making sense.
If we have the system $Ax=b$ and use a ...
1
vote
1answer
160 views
Computing preconditioner for a non-linear conjugate gradient implementation
Consider the following steps for the $i$-th non-linear conjugate gradient iteration, in the context of 3D electromagnetic inversion, and as discussed in (Newman and Boggs, 2004):
(1) set $i = 1$, ...
4
votes
2answers
226 views
Preconditioner for the GMRES method in the Uzawa algorithm
I'm trying to solve
\begin{equation}\left\{
\begin{split}
\frac{\partial u}{\partial t}+(u\cdot\nabla)u-\nu\Delta u+\frac1\rho\nabla p&=f\;\;\;\text{in }\Lambda\\
u&=0\;\;\;\text{on }\partial\...
1
vote
0answers
448 views
How to use “fill_factor” in spilu (scipy) [closed]
I am using spilu (incomplete LU decomposition for sparse matrix) in scipy:
https://docs.scipy.org/doc/scipy-0.14.0/reference/generated/scipy.sparse.linalg.spilu.html
However there is an option call "...
2
votes
1answer
381 views
Preconditioner for dense matrix “with diagonal predominance”
For a CFD panel-based potential method, I'm trying to reduce the time to solve the linear system. The matrix has the larger values on the diagonal, since the influence of a panel on itself is maximum, ...
3
votes
1answer
248 views
SLEPc eigensolvers take long time to converge for large sparse symmetric matrices
I am leveraging the SLEPc library for solving the first $k$ (where $k = 3$ or $4$) eigenvalues and their corresponding vectors for a matrix of size 200,000. The matrix is sparse and symmetric. I ...
0
votes
1answer
183 views
Iterative methods to solve linear system in 3D FEM
I implemented a FEM solver in MATLAB for Poisson's equation in 3D, using hexahedron and sparse matrix for the Laplacian. I was using the backslash but now I have to use a few iterative methods (GMRES ...
4
votes
0answers
160 views
Preconditioning technique for large sparse non-hermitian matrix
I am attempting to solve a computational acoustics problem that involves solving an underlying sparse matrix. The size of the problem varies with grid size (3D) and fill-in's obviously make direct ...
2
votes
0answers
69 views
Preconditioners and discrete Lagrange multipliers
There is a huge literature on efficient preconditioners for saddle-point problems. In computational physics, the case where the Lagrange multipliers enjoy a weak formulation (say, the Stokes equations)...
1
vote
1answer
149 views
Difference between explicit and implicit preconditioning
What is the difference between an explicit and implicit preconditioner?
3
votes
0answers
51 views
Preconditioning matrix with known spectrum
Assume I know all eigenvalues of a matrix $A$ fall into a certain set $\Omega \subset \mathbb{C}$. Is there any way I can exploit this knowledge to design a preconditioner for $A$?
Some further ...
3
votes
2answers
581 views
Python environments for AMG and Gauss Seidel as solvers instead of preconditioners
I am working on block preconditioning and seemingly it is common to write customised Krylov solvers for them. Within each solver, the individual block linear system with preconditioners are ...
1
vote
1answer
516 views
Preconditioning of two step iteration for dense matrices
I would like to solve a dense linear system the form in python
$$
L\left(\boldsymbol{x}\right):=\left[\gamma^+\left[\boldsymbol{A}+\frac{1}{2}\boldsymbol{B}^{-1}\right]
+\gamma^-\left[\boldsymbol{A}-\...
6
votes
1answer
396 views
“Cookbook” about iterative linear solvers and preconditioners
I'm using a lot of linear solvers and preconditioners, but mostly, they are magical black boxes to me. Since I'll also have to implement some of them in future, I would like to learn a bit more, ...
6
votes
3answers
593 views
role of initial guess for iterative linear solver
Suppose we use a preconditioned iterative solver for a linear system. If the initial state for the solver can be chosen very close to the exact solution - does this reduce requirements for the ...
2
votes
1answer
2k views
Solving linear systems with ill-conditioned matrices
As per suggestions of the people from MathOverflow, I'm reposting my question here:
I'm currently trying to solve a linear system $Ax = B$, where the matrix $A$ is ill conditioned (i.e. nearly ...
8
votes
2answers
314 views
Why does conjugate gradient work with this nonsymmetric preconditioner?
In this previous thread the following multiplicative way to combine symmetric preconditioners $P_1$ and $P_2$ for the symmetric system $Ax=b$ was suggested:
\begin{align}
P_\text{combo}^{-1} :=& ...
