A new preconditioner exploiting low-rank factorization error
The solution of a linear system is a fundamental task in scientific computing. Two main classes of methods to solve such a system exist.
- Direct methods compute a factorization of matrix , such as LU factorization, to then directly obtain the solution by triangular substitution; they are very reliable but also possess a high computational cost, which limits the size of problems that can be tackled.
- Iterative methods compute a sequence of iterates converging towards the solution ; they are inexpensive but their convergence and thus reliability strongly depends on the matrix properties, which limits the scope of problems that can be tackled.
A current major challenge in the field of numerical linear algebra is therefore to develop methods that are able to tackle a large scope of problems of large size.
To accelerate the convergence of iterative methods, one usually uses a preconditioner, that is, a matrix ideally satisfying three conditions: (1) is cheap to compute; (2) can be easily inverted; (3) is a good approximation to . With such a matrix , the preconditioned system is then cheap to solve with an iterative method and often requires a small number of iterations only. An example of a widely used class of preconditioners is when is computed as a low-accuracy LU factorization.
Unfortunately, for many important problems it is quite difficult to find a preconditioner that is both of good quality and cheap to compute, especially when the matrix is ill conditioned, that is, when the ratio between its largest and smallest singular values is large.
In our paper A New Preconditioner that Exploits Low-rank Approximations to Factorization Error, with Nick Higham, which recently appeared in SIAM Journal of Scientific Computing, we propose a novel class of general preconditioners that builds on an existing, low-accuracy preconditioner .
This class of preconditioners is based on the following key observation: ill-conditioned matrices that arise in practice often have a small number of small singular values. The inverse of such a matrix has a small number of large singular values and so is numerically low rank. This observation suggests that the error matrix is of interest, because we may expect to retain the numerically low-rank property of .
In the paper, we first investigate theoretically and experimentally whether is indeed numerically low rank; we then describe how to exploit this property to accelerate the convergence of iterative methods by building an improved preconditioner , where is a low-rank approximation to . This new preconditioner is equal to and is thus almost a perfect preconditioner if . Moreover, since is a low-rank matrix, can be cheaply computed via the Sherman–Morrison–Woodbury formula, and so the new preconditioner can be easily inverted.
We apply this new preconditioner to three different types of approximate LU factorizations: half-precision LU factorization, incomplete LU factorization (ILU), and block low-rank (BLR) LU factorization. In our experiments with GMRES-based iterative refinement, we show that the new preconditioner can achieve a significant reduction in the number of iterations required to solve a variety of real-life problems.