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CG

Krylov.cg — Function
(x, stats) = cg(A, b::AbstractVector{FC};
                M=I, ldiv::Bool=false, radius::T=zero(T),
                linesearch::Bool=false, atol::T=√eps(T),
                rtol::T=√eps(T), itmax::Int=0,
                timemax::Float64=Inf, verbose::Int=0, history::Bool=false,
                callback=solver->false, iostream::IO=kstdout)

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

(x, stats) = cg(A, b, x0::AbstractVector; kwargs...)

CG can be warm-started from an initial guess x0 where kwargs are the same keyword arguments as above.

The conjugate gradient method to solve the Hermitian linear system Ax = b of size n.

The method does not abort if A is not definite. M also indicates the weighted norm in which residuals are measured.

Input arguments

  • A: a linear operator that models a Hermitian positive definite matrix of dimension n;
  • b: a vector of length n.

Optional argument

  • x0: a vector of length n that represents an initial guess of the solution x.

Keyword arguments

  • M: linear operator that models a Hermitian positive-definite matrix of size n used for centered preconditioning;
  • ldiv: define whether the preconditioner uses ldiv! or mul!;
  • radius: add the trust-region constraint ‖x‖ ≤ radius if radius > 0. Useful to compute a step in a trust-region method for optimization;
  • linesearch: if true, indicate that the solution is to be used in an inexact Newton method with linesearch. If negative curvature is detected at iteration k > 0, the solution of iteration k-1 is returned. If negative curvature is detected at iteration 0, the right-hand side is returned (i.e., the negative gradient);
  • atol: absolute stopping tolerance based on the residual norm;
  • rtol: relative stopping tolerance based on the residual norm;
  • itmax: the maximum number of iterations. If itmax=0, the default number of iterations is set to 2n;
  • timemax: the time limit in seconds;
  • verbose: additional details can be displayed if verbose mode is enabled (verbose > 0). Information will be displayed every verbose iterations;
  • history: collect additional statistics on the run such as residual norms, or Aᴴ-residual norms;
  • callback: function or functor called as callback(solver) that returns true if the Krylov method should terminate, and false otherwise;
  • iostream: stream to which output is logged.

Output arguments

  • x: a dense vector of length n;
  • stats: statistics collected on the run in a SimpleStats structure.

Reference

source
Krylov.cg! — Function
solver = cg!(solver::CgSolver, A, b; kwargs...)
solver = cg!(solver::CgSolver, A, b, x0; kwargs...)

where kwargs are keyword arguments of cg.

See CgSolver for more details about the solver.

source

CR

Krylov.cr — Function
(x, stats) = cr(A, b::AbstractVector{FC};
                M=I, ldiv::Bool=false, radius::T=zero(T),
                linesearch::Bool=false, γ::T=√eps(T),
                atol::T=√eps(T), rtol::T=√eps(T), itmax::Int=0,
                timemax::Float64=Inf, verbose::Int=0, history::Bool=false,
                callback=solver->false, iostream::IO=kstdout)

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

(x, stats) = cr(A, b, x0::AbstractVector; kwargs...)

CR can be warm-started from an initial guess x0 where kwargs are the same keyword arguments as above.

A truncated version of Stiefel’s Conjugate Residual method to solve the Hermitian linear system Ax = b of size n or the least-squares problem min ‖b - Ax‖ if A is singular. The matrix A must be Hermitian semi-definite. M also indicates the weighted norm in which residuals are measured.

Input arguments

  • A: a linear operator that models a Hermitian positive definite matrix of dimension n;
  • b: a vector of length n.

Optional argument

  • x0: a vector of length n that represents an initial guess of the solution x.

Keyword arguments

  • M: linear operator that models a Hermitian positive-definite matrix of size n used for centered preconditioning;
  • ldiv: define whether the preconditioner uses ldiv! or mul!;
  • radius: add the trust-region constraint ‖x‖ ≤ radius if radius > 0. Useful to compute a step in a trust-region method for optimization;
  • linesearch: if true, indicate that the solution is to be used in an inexact Newton method with linesearch. If negative curvature is detected at iteration k > 0, the solution of iteration k-1 is returned. If negative curvature is detected at iteration 0, the right-hand side is returned (i.e., the negative gradient);
  • γ: tolerance to determine that the curvature of the quadratic model is nonpositive;
  • atol: absolute stopping tolerance based on the residual norm;
  • rtol: relative stopping tolerance based on the residual norm;
  • itmax: the maximum number of iterations. If itmax=0, the default number of iterations is set to 2n;
  • timemax: the time limit in seconds;
  • verbose: additional details can be displayed if verbose mode is enabled (verbose > 0). Information will be displayed every verbose iterations;
  • history: collect additional statistics on the run such as residual norms, or Aᴴ-residual norms;
  • callback: function or functor called as callback(solver) that returns true if the Krylov method should terminate, and false otherwise;
  • iostream: stream to which output is logged.

Output arguments

  • x: a dense vector of length n;
  • stats: statistics collected on the run in a SimpleStats structure.

References

source
Krylov.cr! — Function
solver = cr!(solver::CrSolver, A, b; kwargs...)
solver = cr!(solver::CrSolver, A, b, x0; kwargs...)

where kwargs are keyword arguments of cr.

See CrSolver for more details about the solver.

source

CAR

Krylov.car — Function
(x, stats) = car(A, b::AbstractVector{FC};
                 M=I, ldiv::Bool=false,
                 atol::T=√eps(T), rtol::T=√eps(T),
                 itmax::Int=0, timemax::Float64=Inf,
                 verbose::Int=0, history::Bool=false,
                 callback=solver->false, iostream::IO=kstdout)

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

(x, stats) = car(A, b, x0::AbstractVector; kwargs...)

CAR can be warm-started from an initial guess x0 where kwargs are the same keyword arguments as above.

CAR solves the Hermitian and positive definite linear system Ax = b of size n. CAR minimizes ‖Arₖ‖₂ when M = Iₙ and ‖AMrₖ‖M otherwise. The estimates computed every iteration are ‖Mrₖ‖₂ and ‖AMrₖ‖M.

Input arguments

  • A: a linear operator that models a Hermitian positive definite matrix of dimension n;
  • b: a vector of length n.

Optional argument

  • x0: a vector of length n that represents an initial guess of the solution x.

Keyword arguments

  • M: linear operator that models a Hermitian positive-definite matrix of size n used for centered preconditioning;
  • ldiv: define whether the preconditioner uses ldiv! or mul!;
  • atol: absolute stopping tolerance based on the residual norm;
  • rtol: relative stopping tolerance based on the residual norm;
  • itmax: the maximum number of iterations. If itmax=0, the default number of iterations is set to 2n;
  • timemax: the time limit in seconds;
  • verbose: additional details can be displayed if verbose mode is enabled (verbose > 0). Information will be displayed every verbose iterations;
  • history: collect additional statistics on the run such as residual norms, or Aᴴ-residual norms;
  • callback: function or functor called as callback(solver) that returns true if the Krylov method should terminate, and false otherwise;
  • iostream: stream to which output is logged.

Output arguments

  • x: a dense vector of length n;
  • stats: statistics collected on the run in a SimpleStats structure.

Reference

source
Krylov.car! — Function
solver = car!(solver::CarSolver, A, b; kwargs...)
solver = car!(solver::CarSolver, A, b, x0; kwargs...)

where kwargs are keyword arguments of car.

See CarSolver for more details about the solver.

source

CG-LANCZOS

Krylov.cg_lanczos — Function
(x, stats) = cg_lanczos(A, b::AbstractVector{FC};
                        M=I, ldiv::Bool=false,
                        check_curvature::Bool=false, atol::T=√eps(T),
                        rtol::T=√eps(T), itmax::Int=0,
                        timemax::Float64=Inf, verbose::Int=0, history::Bool=false,
                        callback=solver->false, iostream::IO=kstdout)

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

(x, stats) = cg_lanczos(A, b, x0::AbstractVector; kwargs...)

CG-LANCZOS can be warm-started from an initial guess x0 where kwargs are the same keyword arguments as above.

The Lanczos version of the conjugate gradient method to solve the Hermitian linear system Ax = b of size n.

The method does not abort if A is not definite.

Input arguments

  • A: a linear operator that models a Hermitian matrix of dimension n;
  • b: a vector of length n.

Optional argument

  • x0: a vector of length n that represents an initial guess of the solution x.

Keyword arguments

  • M: linear operator that models a Hermitian positive-definite matrix of size n used for centered preconditioning;
  • ldiv: define whether the preconditioner uses ldiv! or mul!;
  • check_curvature: if true, check that the curvature of the quadratic along the search direction is positive, and abort if not, unless linesearch is also true;
  • atol: absolute stopping tolerance based on the residual norm;
  • rtol: relative stopping tolerance based on the residual norm;
  • itmax: the maximum number of iterations. If itmax=0, the default number of iterations is set to 2n;
  • timemax: the time limit in seconds;
  • verbose: additional details can be displayed if verbose mode is enabled (verbose > 0). Information will be displayed every verbose iterations;
  • history: collect additional statistics on the run such as residual norms, or Aᴴ-residual norms;
  • callback: function or functor called as callback(solver) that returns true if the Krylov method should terminate, and false otherwise;
  • iostream: stream to which output is logged.

Output arguments

  • x: a dense vector of length n;
  • stats: statistics collected on the run in a LanczosStats structure.

References

source
Krylov.cg_lanczos! — Function
solver = cg_lanczos!(solver::CgLanczosSolver, A, b; kwargs...)
solver = cg_lanczos!(solver::CgLanczosSolver, A, b, x0; kwargs...)

where kwargs are keyword arguments of cg_lanczos.

See CgLanczosSolver for more details about the solver.

source

CG-LANCZOS-SHIFT

Krylov.cg_lanczos_shift — Function
(x, stats) = cg_lanczos_shift(A, b::AbstractVector{FC}, shifts::AbstractVector{T};
                              M=I, ldiv::Bool=false,
                              check_curvature::Bool=false, atol::T=√eps(T),
                              rtol::T=√eps(T), itmax::Int=0,
                              timemax::Float64=Inf, verbose::Int=0, history::Bool=false,
                              callback=solver->false, iostream::IO=kstdout)

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

The Lanczos version of the conjugate gradient method to solve a family of shifted systems

(A + αI) x = b  (α = α₁, ..., αₚ)

of size n. The method does not abort if A + αI is not definite.

Input arguments

  • A: a linear operator that models a Hermitian matrix of dimension n;
  • b: a vector of length n;
  • shifts: a vector of length p.

Keyword arguments

  • M: linear operator that models a Hermitian positive-definite matrix of size n used for centered preconditioning;
  • ldiv: define whether the preconditioner uses ldiv! or mul!;
  • check_curvature: if true, check that the curvature of the quadratic along the search direction is positive, and abort if not, unless linesearch is also true;
  • atol: absolute stopping tolerance based on the residual norm;
  • rtol: relative stopping tolerance based on the residual norm;
  • itmax: the maximum number of iterations. If itmax=0, the default number of iterations is set to 2n;
  • timemax: the time limit in seconds;
  • verbose: additional details can be displayed if verbose mode is enabled (verbose > 0). Information will be displayed every verbose iterations;
  • history: collect additional statistics on the run such as residual norms, or Aᴴ-residual norms;
  • callback: function or functor called as callback(solver) that returns true if the Krylov method should terminate, and false otherwise;
  • iostream: stream to which output is logged.

Output arguments

  • x: a vector of p dense vectors, each one of length n;
  • stats: statistics collected on the run in a LanczosShiftStats structure.

References

source