Algorithms for matrix iterative methods
Course Journal
Last update: 19/01/21
Lecture 1 - 30/09/20
Introduction. Matrix properties (sparsity, structure, spectral information, symmetry), discretization of Partial Differential Equations by Finite Difference Method. Refer to:
[SB] p. 45-55
Lecture 2 - 30/09/20
Lab: Introduction, definition of matrices, condition number, solving a linear system, banded matrices. Exercises:
Lab1a.m Ex 1-2, Lab1b.m Ex 3-5.
Lecture 3 - 07/10/20
Finite Element Method. Refer to:
[SB] Section 2.3.
Lecture 4 - 07/10/20
Introduction. Stationary iterative methods (Jacobi, Gauss Seidel). Refer to:
[SB] p. 103-105, 111-113, 116-119.
Lab: Jacobi and Gauss Seidel methods. Exercises:
Lab2a.m Ex 1-2.
Lecture 5 - 14/10/20
Projection methods. Orthogonal and oblique projection methods, well-defined methods, finite termination property. Refer to:
[SB] Chapter 5, pp. 129-138.
[LSB] Chapter 2, pp. 11-19
Lab: SOR method and comparison with other stationary iterative methods:
Lab2a.m Ex 3-4.
Lecture 6 - 14/10/20
Lab: building a random projection method. Exercises:
Lab3a.m Ex 1.
Lecture 7 - 04/11/20
Krylov subspace methods. Refer to:
[SB] Section 6.1-6.2.
Lab: Building the steepest descent method as a projection method. Exercises:
Lab3a.m Ex 2-3.
Lecture 8 - 04/11/20
From Gram-Schmidt process to Arnoldi algorithm. Refer to:
[SB] Sections 6.3.1
Lab: Ill-conditioned Krylov matrices. Exercises:
Lab3b.m Ex 4-5.
Lecture 9 - 11/11/20
Arnoldi algorithm. Refer to:
[SB] Sections 6.3
Lab: Arnoldi, Gram-Schmidt and modified Gram-Schmidt. Exercises:
Lab4a.m Ex 1-3.
Lecture 10 - 11/11/20
Lanczos algorithms. Refer to:
[SB] Sections 6.6
Lab: Symmetric case, comparison between Arnoldi, Arnoldi MGS, and Lanczos
Lab4b.m Ex 4-6.
Lecture 11 - 18/11/20
Non-symmetric Lanczos algorithms. Refer to:
[SB] Sections 6.6, 7.1.
Symmetric linear systems. Conjugate Gradient method (CG) and its mathematical characterization.
[LSB] Theorem 2.3.1.
Lecture 12 - 18/11/20
Derivation of CG from Lanczos algorithm by D-Lanczos method. Refer to:
[SB] Sections 6.7.1.
Lab: CG method and its numerical behavior given different spectral distributions.
Lab5a.m Ex 1-3.
Lecture 13 - 25/11/20
Elements of CG convergence behavior in exact and in finite precision arithmetic. Refer to:
[LSB] Theorem 2.3.1 and Figure 5.19.
SYMMLQ method. Refer to:
[LSB] Section 2.5.4.
Lab: CG method and its numerical behavior given different spectral distributions.
Lab5a.m Ex 1-3.
Lecture 14 - 25/11/20
Symmetric case: MINRES method. Non symmetric case: FOM method. Refer to:
MINRES, [LSB] Section 2.5.5.
FOM, [SB] Section 6.4.1, [LSB] p. 61.
Lab: CG, SYMMLQ, MINRES methods.
Lab5b.m Ex 4-5.
Lecture 15 - 02/12/20
Non symmetric case: GMRES method (mathematical characterization, QR implementation, restarted, relation with FOM). Refer to:
[LSB] Section 2.5.5.
[SB] Section 6.5.1, 6.5.3-6.5.5.
Lab: GMRES methods.
Lab6a.m Ex 1-2.
Lecture 16 - 02/12/20
Non symmetric case: GMRES method convergence and finite precision arithmetic. Refer to:
[LSB] pp. 285-286, pp. 289-290, Theorem 5.7.8 at p. 300 (without proof).
Lab: GMRES methods.
Lab6b.m Ex 3-5.
Non symmetric case: short recurrence. Non-symmetric Lanczos, BiCG and QMR methods. Refer to:
[SB] Section 7.2-7.3.
Lecture 17 - 09/12/20
Non symmetric case: short recurrence. Transpose-free variants: CGS, BiCGStab, and (basic ideas of) TFQMR methods. Refer to:
[SB] Section 7.4.1-7.4.3.
Lab: Short recurrence non-symmetric methods.
Lab7.m Ex 1-2.
Faber-Manteuffel Theorem. Refer to:
[SB] Section 6.10.
Lecture 18 - 09/12/20
Normal equations and CG: CGNR (CGLS). Refer to:
[SB] Section 8.1, 8.3
Lab: Regularization and CGNR
Lab8a.m Ex 1.
Lecture 19 - 16/12/20
Normal equations: Golub-Kahan iterative bidiagonalization. Refer to:
Section 2 of: I. Hnětynková, M. Plešinger, and Z. Strakoš. The regularizing effect of the Golub-Kahan iterative bidiagonalization and revealing the noise level in the data, BIT Numerical Mathematics 49 (2009), pp. 669-696. [Preprint]
Preconditioning. Role of the spectrum and condition number. Preconditioned Conjugate Gradient (PCG), split preconditioner CG. Refer to:
[SB] Sections 9.1-9.2.
Figure 1 ( Figure 2.1 in the preprint) in: T. Gergelits , K-A. Mardal , B. F. Nielsen, and Z. Strakoš, Laplacian Preconditioning of Elliptic PDEs: Localization of the Eigenvalues of the Discretized Operator, SIAM Journal on Numerical Analysis, 57 (2019), pp. 1369–1394. [Preprint]
Lecture 20 - 16/12/20
Preconditioning techniques. Preconditioning using stationary iterative methods (Jacobi, Gauss-Seidel, SSOR). Preconditioning using the Incomplete LU factorization (ILU(0) and ILU(p)). Refer to:
[SB] Sections 10.1-10.2, 10.3.1-10.3.2.
Lab: Preconditioning techniques for PCG.
Lab10a.m Ex 1-3.
Lecture 21 - 06/01/21
Multigrid: Standard Multigrid techniques: nested iterations, V-cycles, W-cycles, Full Multigrid scheme (FMG). Refer to:
[SB] Sections 13.4.1-13.4.3 and first page of 13.4.4.
Exam:
Exam dates:
20.01.2021, 10:00-15:00 K433KNM
22.01.2021, 10:00-15:00 K433KNM
28.01.2021, 10:00-15:00 K433KNM
The exam reflects all the material presented on lectures and practicals during the whole semester. The exam has oral form.
Furthermore, students will complete one homework assignments during the semester. The homework consists of implementing a selected method in the MATLAB environment. Results will be presented by the students in the computer laboratory at the end of the semester.
A map of iterative methods treated in the course
![](https://www.google.com/images/icons/product/drive-32.png)
Materials and literature:
Literature:
[SB] Y. Saad: Iterative methods for sparse linear systems, SIAM, Philadelphia, 2003. (Main source) [Library]
An open free version can be downloaded here.[LSB] J. Liesen and Z. Strakos, Krylov Subspace Methods, Principles and Analysis, Oxford University Press, 2012, 408p. [Library]
Barrert, R., et all: Templates for the Solution of Linear Systems: Building Blocks for Iterative Methods, SIAM, Philadelphia, 1994.
Higham, N.: Accuracy and stability of numerical algorithms, SIAM, Philadelphia, 2002 (2nd ed.).
Meurant, G.: Computer solution of large linear systems, Studies in Mathematics and Its Applications, North-Holland, 1999.
Material discussed in class (in order of appearance):
I. Hnětynková, M. Plešinger, and Z. Strakoš. The regularizing effect of the Golub-Kahan iterative bidiagonalization and revealing the noise level in the data, BIT Numerical Mathematics 49 (2009), pp. 669-696. [Preprint]
T. Gergelits , K-A. Mardal , B. F. Nielsen, and Z. Strakoš, Laplacian Preconditioning of Elliptic PDEs: Localization of the Eigenvalues of the Discretized Operator, SIAM Journal on Numerical Analysis, 57 (2019), pp. 1369–1394. [Preprint]