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Non-stationary Extremal Eigenvalue Approximations in Iterative Solutions of Linear Systems and Estimators for Relative Error by Subba, Divya Anand; Venkatapathi, Murugesan is a scholarly article available to read on EtoBox.

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Non-stationary approximations of the final value of a converging sequence are discussed, and we show that extremal eigenvalues can be reasonably estimated from the CG iterates without much computation at all. We introduce estimators of relative error for conjugate gradient (CG)methods that adopt past work on computationally efficient bounds of the absolute errors using quadrature formulas. The evaluation of the Gauss quadrature based estimates though, depends on a priori knowledge of extremal eigenvalues; and the upper bounds in particular that are useful as a stopping criterion fail in the absence of a reasonable underestimate of smallest eigenvalue. Estimators for relative errors in A-norm and their extension to errors in l2 norm are presented with numerical results. Estimating the relative error from the residue in an iterative solution is required for efficient solution of a large problem with even a moderately high condition. Specifically, in a problem of solving for vector x in Ax=b, the uncertainty between the strict upper bound in relative error [{\kappa}*||r(i)||/||b||] and its strict lower bound [||r(i)||/({\kappa}*||b||)] is a factor of {\kappa}^2 (given residue r(i)= b-

Author

Subba, Divya Anand; Venkatapathi, Murugesan

Published

2013

Language

EN