Generalized minimal residual method

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In mathematics, the generalized minimal residual method (GMRES) is an iterative method for the numerical solution of an indefinite nonsymmetric system of linear equations. The method approximates the solution by the vector in a Krylov subspace with minimal residual. The Arnoldi iteration is used to find this vector.

The GMRES method was developed by Yousef Saad and Martin H. Schultz in 1986.[1] It is a generalization and improvement of the MINRES method due to Paige and Saunders in 1975.[2][3] The MINRES method requires that the matrix is symmetric, but has the advantage that it only requires handling of three vectors. GMRES is a special case of the DIIS method developed by Peter Pulay in 1980. DIIS is applicable to non-linear systems.

The method

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Denote the Euclidean norm of any vector v by  . Denote the (square) system of linear equations to be solved by   The matrix A is assumed to be invertible of size m-by-m. Furthermore, it is assumed that b is normalized, i.e., that  .

The n-th Krylov subspace for this problem is   where   is the initial error given an initial guess  . Clearly   if  .

GMRES approximates the exact solution of   by the vector   that minimizes the Euclidean norm of the residual  .

The vectors   might be close to linearly dependent, so instead of this basis, the Arnoldi iteration is used to find orthonormal vectors   which form a basis for  . In particular,  .

Therefore, the vector   can be written as   with  , where   is the m-by-n matrix formed by  . In other words, finding the n-th approximation of the solution (i.e.,  ) is reduced to finding the vector  , which is determined via minimizing the residue as described below.

The Arnoldi process also constructs  , an ( )-by-  upper Hessenberg matrix which satisfies   an equality which is used to simplify the calculation of   (see § Solving the least squares problem). Note that, for symmetric matrices, a symmetric tri-diagonal matrix is actually achieved, resulting in the MINRES method.

Because columns of   are orthonormal, we have  where   is the first vector in the standard basis of  , and    being the first trial residual vector (usually  ). Hence,   can be found by minimizing the Euclidean norm of the residual  This is a linear least squares problem of size n.

This yields the GMRES method. On the  -th iteration:

  1. calculate   with the Arnoldi method;
  2. find the   which minimizes  ;
  3. compute  ;
  4. repeat if the residual is not yet small enough.

At every iteration, a matrix-vector product   must be computed. This costs about   floating-point operations for general dense matrices of size  , but the cost can decrease to   for sparse matrices. In addition to the matrix-vector product,   floating-point operations must be computed at the n -th iteration.

Convergence

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The nth iterate minimizes the residual in the Krylov subspace  . Since every subspace is contained in the next subspace, the residual does not increase. After m iterations, where m is the size of the matrix A, the Krylov space Km is the whole of Rm and hence the GMRES method arrives at the exact solution. However, the idea is that after a small number of iterations (relative to m), the vector xn is already a good approximation to the exact solution.

This does not happen in general. Indeed, a theorem of Greenbaum, Pták and Strakoš states that for every nonincreasing sequence a1, ..., am−1, am = 0, one can find a matrix A such that the ‖rn‖ = an for all n, where rn is the residual defined above. In particular, it is possible to find a matrix for which the residual stays constant for m − 1 iterations, and only drops to zero at the last iteration.

In practice, though, GMRES often performs well. This can be proven in specific situations. If the symmetric part of A, that is  , is positive definite, then   where   and   denote the smallest and largest eigenvalue of the matrix  , respectively.[4]

If A is symmetric and positive definite, then we even have   where   denotes the condition number of A in the Euclidean norm.

In the general case, where A is not positive definite, we have   where Pn denotes the set of polynomials of degree at most n with p(0) = 1, V is the matrix appearing in the spectral decomposition of A, and σ(A) is the spectrum of A. Roughly speaking, this says that fast convergence occurs when the eigenvalues of A are clustered away from the origin and A is not too far from normality.[5]

All these inequalities bound only the residuals instead of the actual error, that is, the distance between the current iterate xn and the exact solution.

Extensions of the method

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Like other iterative methods, GMRES is usually combined with a preconditioning method in order to speed up convergence.

The cost of the iterations grow as O(n2), where n is the iteration number. Therefore, the method is sometimes restarted after a number, say k, of iterations, with xk as initial guess. The resulting method is called GMRES(k) or Restarted GMRES. For non-positive definite matrices, this method may suffer from stagnation in convergence as the restarted subspace is often close to the earlier subspace.

The shortcomings of GMRES and restarted GMRES are addressed by the recycling of Krylov subspace in the GCRO type methods such as GCROT and GCRODR.[6] Recycling of Krylov subspaces in GMRES can also speed up convergence when sequences of linear systems need to be solved.[7]

Comparison with other solvers

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The Arnoldi iteration reduces to the Lanczos iteration for symmetric matrices. The corresponding Krylov subspace method is the minimal residual method (MinRes) of Paige and Saunders. Unlike the unsymmetric case, the MinRes method is given by a three-term recurrence relation. It can be shown that there is no Krylov subspace method for general matrices, which is given by a short recurrence relation and yet minimizes the norms of the residuals, as GMRES does.

Another class of methods builds on the unsymmetric Lanczos iteration, in particular the BiCG method. These use a three-term recurrence relation, but they do not attain the minimum residual, and hence the residual does not decrease monotonically for these methods. Convergence is not even guaranteed.

The third class is formed by methods like CGS and BiCGSTAB. These also work with a three-term recurrence relation (hence, without optimality) and they can even terminate prematurely without achieving convergence. The idea behind these methods is to choose the generating polynomials of the iteration sequence suitably.

None of these three classes is the best for all matrices; there are always examples in which one class outperforms the other. Therefore, multiple solvers are tried in practice to see which one is the best for a given problem.

Solving the least squares problem

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One part of the GMRES method is to find the vector   which minimizes   Note that   is an (n + 1)-by-n matrix, hence it gives an over-constrained linear system of n+1 equations for n unknowns.

The minimum can be computed using a QR decomposition: find an (n + 1)-by-(n + 1) orthogonal matrix Ωn and an (n + 1)-by-n upper triangular matrix   such that   The triangular matrix has one more row than it has columns, so its bottom row consists of zero. Hence, it can be decomposed as   where   is an n-by-n (thus square) triangular matrix.

The QR decomposition can be updated cheaply from one iteration to the next, because the Hessenberg matrices differ only by a row of zeros and a column:   where hn+1 = (h1,n+1, ..., hn+1,n+1)T. This implies that premultiplying the Hessenberg matrix with Ωn, augmented with zeroes and a row with multiplicative identity, yields almost a triangular matrix:   This would be triangular if σ is zero. To remedy this, one needs the Givens rotation   where   With this Givens rotation, we form   Indeed,   is a triangular matrix with  .

Given the QR decomposition, the minimization problem is easily solved by noting that   Denoting the vector   by   with gnRn and γnR, this is   The vector y that minimizes this expression is given by   Again, the vectors   are easy to update.[8]

Example code

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Regular GMRES (MATLAB / GNU Octave)

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function [x, e] = gmres(A, b, x, max_iterations, threshold)
  n = length(A);
  m = max_iterations;

  % use x as the initial vector
  r = b - A * x;

  b_norm = norm(b);
  error = norm(r) / b_norm;

  % initialize the 1D vectors
  sn = zeros(m, 1);
  cs = zeros(m, 1);
  %e1 = zeros(n, 1);
  e1 = zeros(m+1, 1);
  e1(1) = 1;
  e = [error];
  r_norm = norm(r);
  Q(:,1) = r / r_norm;
  % Note: this is not the beta scalar in section "The method" above but
  % the beta scalar multiplied by e1
  beta = r_norm * e1;
  for k = 1:m

    % run arnoldi
    [H(1:k+1, k), Q(:, k+1)] = arnoldi(A, Q, k);
    
    % eliminate the last element in H ith row and update the rotation matrix
    [H(1:k+1, k), cs(k), sn(k)] = apply_givens_rotation(H(1:k+1,k), cs, sn, k);
    
    % update the residual vector
    beta(k + 1) = -sn(k) * beta(k);
    beta(k)     = cs(k) * beta(k);
    error       = abs(beta(k + 1)) / b_norm;

    % save the error
    e = [e; error];

    if (error <= threshold)
      break;
    end
  end
  % if threshold is not reached, k = m at this point (and not m+1) 
  
  % calculate the result
  y = H(1:k, 1:k) \ beta(1:k);
  x = x + Q(:, 1:k) * y;
end

%----------------------------------------------------%
%                  Arnoldi Function                  %
%----------------------------------------------------%
function [h, q] = arnoldi(A, Q, k)
  q = A*Q(:,k);   % Krylov Vector
  for i = 1:k     % Modified Gram-Schmidt, keeping the Hessenberg matrix
    h(i) = q' * Q(:, i);
    q = q - h(i) * Q(:, i);
  end
  h(k + 1) = norm(q);
  q = q / h(k + 1);
end

%---------------------------------------------------------------------%
%                  Applying Givens Rotation to H col                  %
%---------------------------------------------------------------------%
function [h, cs_k, sn_k] = apply_givens_rotation(h, cs, sn, k)
  % apply for ith column
  for i = 1:k-1
    temp   =  cs(i) * h(i) + sn(i) * h(i + 1);
    h(i+1) = -sn(i) * h(i) + cs(i) * h(i + 1);
    h(i)   = temp;
  end

  % update the next sin cos values for rotation
  [cs_k, sn_k] = givens_rotation(h(k), h(k + 1));

  % eliminate H(i + 1, i)
  h(k) = cs_k * h(k) + sn_k * h(k + 1);
  h(k + 1) = 0.0;
end

%%----Calculate the Givens rotation matrix----%%
function [cs, sn] = givens_rotation(v1, v2)
%  if (v1 == 0)
%    cs = 0;
%    sn = 1;
%  else
    t = sqrt(v1^2 + v2^2);
%    cs = abs(v1) / t;
%    sn = cs * v2 / v1;
    cs = v1 / t;  % see http://www.netlib.org/eispack/comqr.f
    sn = v2 / t;
%  end
end

See also

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References

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  1. ^ Saad, Youcef; Schultz, Martin H. (1986). "GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems". SIAM Journal on Scientific and Statistical Computing. 7 (3): 856–869. doi:10.1137/0907058. ISSN 0196-5204.
  2. ^ Paige and Saunders, "Solution of Sparse Indefinite Systems of Linear Equations", SIAM J. Numer. Anal., vol 12, page 617 (1975) https://doi.org/10.1137/0712047
  3. ^ Nifa, Naoufal (2017). Solveurs performants pour l'optimisation sous contraintes en identification de paramètres [Efficient solvers for constrained optimization in parameter identification problems] (Thesis) (in French).
  4. ^ Eisenstat, Elman & Schultz 1983, Thm 3.3. NB all results for GCR also hold for GMRES, cf. Saad & Schultz 1986
  5. ^ Trefethen, Lloyd N.; Bau, David, III. (1997). Numerical Linear Algebra. Philadelphia: Society for Industrial and Applied Mathematics. Theorem 35.2. ISBN 978-0-89871-361-9.{{cite book}}: CS1 maint: multiple names: authors list (link)
  6. ^ Amritkar, Amit; de Sturler, Eric; Świrydowicz, Katarzyna; Tafti, Danesh; Ahuja, Kapil (2015). "Recycling Krylov subspaces for CFD applications and a new hybrid recycling solver". Journal of Computational Physics. 303: 222. arXiv:1501.03358. Bibcode:2015JCoPh.303..222A. doi:10.1016/j.jcp.2015.09.040. S2CID 2933274.
  7. ^ Gaul, André (2014). Recycling Krylov subspace methods for sequences of linear systems (Ph.D.). TU Berlin. doi:10.14279/depositonce-4147.
  8. ^ Stoer, Josef; Bulirsch, Roland (2002). Introduction to Numerical Analysis. Texts in Applied Mathematics (3rd ed.). New York: Springer. §8.7.2. ISBN 978-0-387-95452-3.