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CGNE

Krylov.cgne — Function
(x, stats) = cgne(A, b::AbstractVector{FC};
                  N=I, λ::T=zero(T), atol::T=√eps(T), rtol::T=√eps(T),
                  itmax::Int=0, verbose::Int=0, history::Bool=false,
                  ldiv::Bool=false, callback=solver->false)

T is an AbstractFloat such as Float32, Float64 or BigFloat. FC is T or Complex{T}.

Solve the consistent linear system

Ax + √λs = b

using the Conjugate Gradient (CG) method, where λ ≥ 0 is a regularization parameter. This method is equivalent to applying CG to the normal equations of the second kind

(AAᴴ + λI) y = b

but is more stable. When λ = 0, this method solves the minimum-norm problem

min ‖x‖₂ s.t. Ax = b.

When λ > 0, it solves the problem

min ‖(x,s)‖₂  s.t. Ax + √λs = b.

CGNE produces monotonic errors ‖x-x*‖₂ but not residuals ‖r‖₂. It is formally equivalent to CRAIG, though can be slightly less accurate, but simpler to implement. Only the x-part of the solution is returned.

A preconditioner N may be provided in the form of a linear operator.

The callback is called as callback(solver) and should return true if the main loop should terminate, and false otherwise.

References

  • J. E. Craig, The N-step iteration procedures, Journal of Mathematics and Physics, 34(1), pp. 64–73, 1955.
  • J. E. Craig, Iterations Procedures for Simultaneous Equations, Ph.D. Thesis, Department of Electrical Engineering, MIT, 1954.
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Krylov.cgne! — Function
solver = cgne!(solver::CgneSolver, A, b; kwargs...)

where kwargs are keyword arguments of cgne.

See CgneSolver for more details about the solver.

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CRMR

Krylov.crmr — Function
(x, stats) = crmr(A, b::AbstractVector{FC};
                  N=I, λ::T=zero(T), atol::T=√eps(T),
                  rtol::T=√eps(T), itmax::Int=0, verbose::Int=0, history::Bool=false,
                  ldiv::Bool=false, callback=solver->false)

T is an AbstractFloat such as Float32, Float64 or BigFloat. FC is T or Complex{T}.

Solve the consistent linear system

Ax + √λs = b

using the Conjugate Residual (CR) method, where λ ≥ 0 is a regularization parameter. This method is equivalent to applying CR to the normal equations of the second kind

(AAᴴ + λI) y = b

but is more stable. When λ = 0, this method solves the minimum-norm problem

min ‖x‖₂  s.t.  x ∈ argmin ‖Ax - b‖₂.

When λ > 0, this method solves the problem

min ‖(x,s)‖₂  s.t. Ax + √λs = b.

CRMR produces monotonic residuals ‖r‖₂. It is formally equivalent to CRAIG-MR, though can be slightly less accurate, but simpler to implement. Only the x-part of the solution is returned.

A preconditioner N may be provided.

The callback is called as callback(solver) and should return true if the main loop should terminate, and false otherwise.

References

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Krylov.crmr! — Function
solver = crmr!(solver::CrmrSolver, A, b; kwargs...)

where kwargs are keyword arguments of crmr.

See CrmrSolver for more details about the solver.

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LNLQ

Krylov.lnlq — Function
(x, y, stats) = lnlq(A, b::AbstractVector{FC};
                     M=I, N=I, sqd::Bool=false, λ::T=zero(T), σ::T=zero(T),
                     atol::T=√eps(T), rtol::T=√eps(T), etolx::T=√eps(T), etoly::T=√eps(T), itmax::Int=0,
                     transfer_to_craig::Bool=true, verbose::Int=0, history::Bool=false,
                     ldiv::Bool=false, callback=solver->false)

T is an AbstractFloat such as Float32, Float64 or BigFloat. FC is T or Complex{T}.

Find the least-norm solution of the consistent linear system

Ax + λ²y = b

using the LNLQ method, where λ ≥ 0 is a regularization parameter.

For a system in the form Ax = b, LNLQ method is equivalent to applying SYMMLQ to AAᴴy = b and recovering x = Aᴴy but is more stable. Note that y are the Lagrange multipliers of the least-norm problem

minimize ‖x‖  s.t.  Ax = b.

If λ > 0, LNLQ solves the symmetric and quasi-definite system

[ -F    Aᴴ ] [ x ]   [ 0 ]
[  A  λ²E  ] [ y ] = [ b ],

where E and F are symmetric and positive definite. Preconditioners M = E⁻¹ ≻ 0 and N = F⁻¹ ≻ 0 may be provided in the form of linear operators. If sqd=true, λ is set to the common value 1.

The system above represents the optimality conditions of

min ‖x‖²_F + λ²‖y‖²_E  s.t.  Ax + λ²Ey = b.

For a symmetric and positive definite matrix K, the K-norm of a vector x is ‖x‖²_K = xᴴKx. LNLQ is then equivalent to applying SYMMLQ to (AF⁻¹Aᴴ + λ²E)y = b with Fx = Aᴴy.

If λ = 0, LNLQ solves the symmetric and indefinite system

[ -F   Aᴴ ] [ x ]   [ 0 ]
[  A   0  ] [ y ] = [ b ].

The system above represents the optimality conditions of

minimize ‖x‖²_F  s.t.  Ax = b.

In this case, M can still be specified and indicates the weighted norm in which residuals are measured.

In this implementation, both the x and y-parts of the solution are returned.

etolx and etoly are tolerances on the upper bound of the distance to the solution ‖x-xₛ‖ and ‖y-yₛ‖, respectively. The bound is valid if λ>0 or σ>0 where σ should be strictly smaller than the smallest positive singular value. For instance σ:=(1-1e-7)σₘᵢₙ .

The callback is called as callback(solver) and should return true if the main loop should terminate, and false otherwise.

Reference

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Krylov.lnlq! — Function
solver = lnlq!(solver::LnlqSolver, A, b; kwargs...)

where kwargs are keyword arguments of lnlq.

See LnlqSolver for more details about the solver.

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CRAIG

Krylov.craig — Function
(x, y, stats) = craig(A, b::AbstractVector{FC};
                      M=I, N=I, sqd::Bool=false, λ::T=zero(T), atol::T=√eps(T),
                      btol::T=√eps(T), rtol::T=√eps(T), conlim::T=1/√eps(T), itmax::Int=0,
                      verbose::Int=0, transfer_to_lsqr::Bool=false, history::Bool=false,
                      ldiv::Bool=false, callback=solver->false)

T is an AbstractFloat such as Float32, Float64 or BigFloat. FC is T or Complex{T}.

Find the least-norm solution of the consistent linear system

Ax + λ²y = b

using the Golub-Kahan implementation of Craig's method, where λ ≥ 0 is a regularization parameter. This method is equivalent to CGNE but is more stable.

For a system in the form Ax = b, Craig's method is equivalent to applying CG to AAᴴy = b and recovering x = Aᴴy. Note that y are the Lagrange multipliers of the least-norm problem

minimize ‖x‖  s.t.  Ax = b.

If λ > 0, CRAIG solves the symmetric and quasi-definite system

[ -F     Aᴴ ] [ x ]   [ 0 ]
[  A   λ²E  ] [ y ] = [ b ],

where E and F are symmetric and positive definite. Preconditioners M = E⁻¹ ≻ 0 and N = F⁻¹ ≻ 0 may be provided in the form of linear operators. If sqd=true, λ is set to the common value 1.

The system above represents the optimality conditions of

min ‖x‖²_F + λ²‖y‖²_E  s.t.  Ax + λ²Ey = b.

For a symmetric and positive definite matrix K, the K-norm of a vector x is ‖x‖²_K = xᴴKx. CRAIG is then equivalent to applying CG to (AF⁻¹Aᴴ + λ²E)y = b with Fx = Aᴴy.

If λ = 0, CRAIG solves the symmetric and indefinite system

[ -F   Aᴴ ] [ x ]   [ 0 ]
[  A   0  ] [ y ] = [ b ].

The system above represents the optimality conditions of

minimize ‖x‖²_F  s.t.  Ax = b.

In this case, M can still be specified and indicates the weighted norm in which residuals are measured.

In this implementation, both the x and y-parts of the solution are returned.

The callback is called as callback(solver) and should return true if the main loop should terminate, and false otherwise.

References

source
Krylov.craig! — Function
solver = craig!(solver::CraigSolver, A, b; kwargs...)

where kwargs are keyword arguments of craig.

See CraigSolver for more details about the solver.

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CRAIGMR

Krylov.craigmr — Function
(x, y, stats) = craigmr(A, b::AbstractVector{FC};
                        M=I, N=I, sqd :: Bool=false, λ :: T=zero(T), atol :: T=√eps(T),
                        rtol::T=√eps(T), itmax::Int=0, verbose::Int=0, history::Bool=false,
                        ldiv::Bool=false, callback=solver->false)

T is an AbstractFloat such as Float32, Float64 or BigFloat. FC is T or Complex{T}.

Solve the consistent linear system

Ax + λ²y = b

using the CRAIGMR method, where λ ≥ 0 is a regularization parameter. This method is equivalent to applying the Conjugate Residuals method to the normal equations of the second kind

(AAᴴ + λ²I) y = b

but is more stable. When λ = 0, this method solves the minimum-norm problem

min ‖x‖  s.t.  x ∈ argmin ‖Ax - b‖.

If λ > 0, CRAIGMR solves the symmetric and quasi-definite system

[ -F    Aᴴ ] [ x ]   [ 0 ]
[  A  λ²E  ] [ y ] = [ b ],

where E and F are symmetric and positive definite. Preconditioners M = E⁻¹ ≻ 0 and N = F⁻¹ ≻ 0 may be provided in the form of linear operators. If sqd=true, λ is set to the common value 1.

The system above represents the optimality conditions of

min ‖x‖²_F + λ²‖y‖²_E  s.t.  Ax + λ²Ey = b.

For a symmetric and positive definite matrix K, the K-norm of a vector x is ‖x‖²_K = xᴴKx. CRAIGMR is then equivalent to applying MINRES to (AF⁻¹Aᴴ + λ²E)y = b with Fx = Aᴴy.

If λ = 0, CRAIGMR solves the symmetric and indefinite system

[ -F   Aᴴ ] [ x ]   [ 0 ]
[  A   0  ] [ y ] = [ b ].

The system above represents the optimality conditions of

min ‖x‖²_F  s.t.  Ax = b.

In this case, M can still be specified and indicates the weighted norm in which residuals are measured.

CRAIGMR produces monotonic residuals ‖r‖₂. It is formally equivalent to CRMR, though can be slightly more accurate, and intricate to implement. Both the x- and y-parts of the solution are returned.

The callback is called as callback(solver) and should return true if the main loop should terminate, and false otherwise.

References

source