def fgmres(A, b, x0=None, tol=1e-5, restrt=None, maxiter=None, xtype=None,
M=None, callback=None, residuals=None):
'''Flexible Generalized Minimum Residual Method (fGMRES)
fGMRES iteratively refines the initial solution guess to the
system Ax = b. fGMRES is flexible in the sense that the right
preconditioner (M) can vary from iteration to iteration.
Parameters
----------
A : {array, matrix, sparse matrix, LinearOperator}
n x n, linear system to solve
b : {array, matrix}
right hand side, shape is (n,) or (n,1)
x0 : {array, matrix}
initial guess, default is a vector of zeros
tol : float
relative convergence tolerance, i.e. tol is scaled by ||r_0||_2
restrt : {None, int}
- if int, restrt is max number of inner iterations
and maxiter is the max number of outer iterations
- if None, do not restart GMRES, and max number of inner iterations is
maxiter
maxiter : {None, int}
- if restrt is None, maxiter is the max number of inner iterations
and GMRES does not restart
- if restrt is int, maxiter is the max number of outer iterations,
and restrt is the max number of inner iterations
xtype : type
dtype for the solution, default is automatic type detection
M : {array, matrix, sparse matrix, LinearOperator}
n x n, inverted preconditioner, i.e. solve A M x = M b.
M need not be stationary for fgmres
callback : function
User-supplied function is called after each iteration as
callback( ||rk||_2 ), where rk is the current residual vector
residuals : list
residuals has the residual norm history,
including the initial residual, appended to it
Returns
-------
(xNew, info)
xNew : an updated guess to the solution of Ax = b
info : halting status of gmres
== =============================================
0 successful exit
>0 convergence to tolerance not achieved,
return iteration count instead. This value
is precisely the order of the Krylov space.
<0 numerical breakdown, or illegal input
== =============================================
Notes
-----
- The LinearOperator class is in scipy.sparse.linalg.interface.
Use this class if you prefer to define A or M as a mat-vec routine
as opposed to explicitly constructing the matrix. A.psolve(..) is
still supported as a legacy.
- fGMRES allows for non-stationary preconditioners, as opposed to GMRES
- For robustness, Householder reflections are used to orthonormalize
the Krylov Space
Givens Rotations are used to provide the residual norm each iteration
Flexibility implies that the right preconditioner, M or A.psolve, can
vary from iteration to iteration
Examples
--------
>>> from pyamg.krylov.fgmres import fgmres
>>> from pyamg.util.linalg import norm
>>> import numpy as np
>>> from pyamg.gallery import poisson
>>> A = poisson((10,10))
>>> b = np.ones((A.shape[0],))
>>> (x,flag) = fgmres(A,b, maxiter=2, tol=1e-8)
>>> print norm(b - A*x)
6.5428213057
References
----------
.. [1] Yousef Saad, "Iterative Methods for Sparse Linear Systems,
Second Edition", SIAM, pp. 151-172, pp. 272-275, 2003
http://www-users.cs.umn.edu/~saad/books.html
'''
# Convert inputs to linear system, with error checking
A, M, x, b, postprocess = make_system(A, M, x0, b, xtype)
dimen = A.shape[0]
# Ensure that warnings are always reissued from this function
import warnings
warnings.filterwarnings('always', module='pyamg\.krylov\._fgmres')
# Choose type
if not hasattr(A, 'dtype'):
Atype = upcast(x.dtype, b.dtype)
else:
Atype = A.dtype
if not hasattr(M, 'dtype'):
Mtype = upcast(x.dtype, b.dtype)
else:
Mtype = M.dtype
xtype = upcast(Atype, x.dtype, b.dtype, Mtype)
# Should norm(r) be kept
if residuals == []:
keep_r = True
else:
keep_r = False
# Set number of outer and inner iterations
if restrt:
if maxiter:
max_outer = maxiter
else:
max_outer = 1
if restrt > dimen:
warn('Setting number of inner iterations (restrt) to maximum \
allowed, which is A.shape[0] ')
restrt = dimen
max_inner = restrt
else:
max_outer = 1
if maxiter > dimen:
warn('Setting number of inner iterations (maxiter) to maximum \
allowed, which is A.shape[0] ')
maxiter = dimen
elif maxiter is None:
maxiter = min(dimen, 40)
max_inner = maxiter
# Get fast access to underlying BLAS routines
[rotg] = get_blas_funcs(['rotg'], [x])
# Is this a one dimensional matrix?
if dimen == 1:
entry = ravel(A*array([1.0], dtype=xtype))
return (postprocess(b/entry), 0)
# Prep for method
r = b - ravel(A*x)
normr = norm(r)
if keep_r:
residuals.append(normr)
# Check initial guess ( scaling by b, if b != 0,
# must account for case when norm(b) is very small)
normb = norm(b)
if normb == 0.0:
normb = 1.0
if normr < tol*normb:
if callback is not None:
callback(norm(r))
return (postprocess(x), 0)
# Scale tol by ||r_0||_2, we don't use the preconditioned
# residual because this is right preconditioned GMRES.
if normr != 0.0:
tol = tol*normr
# Use separate variable to track iterations. If convergence fails,
# we cannot simply report niter = (outer-1)*max_outer + inner. Numerical
# error could cause the inner loop to halt while the actual ||r|| > tol.
niter = 0
# Begin fGMRES
for outer in range(max_outer):
# Calculate vector w, which defines the Householder reflector
# Take shortcut in calculating,
# w = r + sign(r[1])*||r||_2*e_1
w = r
beta = mysign(w[0])*normr
w[0] += beta
w /= norm(w)
# Preallocate for Krylov vectors, Householder reflectors and Hessenberg
# matrix
# Space required is O(dimen*max_inner)
# Givens Rotations
Q = zeros((4*max_inner,), dtype=xtype)
# upper Hessenberg matrix (made upper tri with Givens Rotations)
H = zeros((max_inner, max_inner), dtype=xtype)
W = zeros((max_inner, dimen), dtype=xtype) # Householder reflectors
# For fGMRES, preconditioned vectors must be stored
# No Horner-like scheme exists that allow us to avoid this
Z = zeros((dimen, max_inner), dtype=xtype)
W[0, :] = w
# Multiply r with (I - 2*w*w.T), i.e. apply the Householder reflector
# This is the RHS vector for the problem in the Krylov Space
g = zeros((dimen,), dtype=xtype)
g[0] = -beta
for inner in range(max_inner):
# Calculate Krylov vector in two steps
# (1) Calculate v = P_j = (I - 2*w*w.T)v, where k = inner
v = -2.0*conjugate(w[inner])*w
v[inner] += 1.0
# (2) Calculate the rest, v = P_1*P_2*P_3...P_{j-1}*ej.
# for j in range(inner-1,-1,-1):
# v = v - 2.0*dot(conjugate(W[j,:]), v)*W[j,:]
amg_core.apply_householders(v, ravel(W), dimen, inner-1, -1, -1)
# Apply preconditioner
v = ravel(M*v)
# Check for nan, inf
# if isnan(v).any() or isinf(v).any():
# warn('inf or nan after application of preconditioner')
# return(postprocess(x), -1)
Z[:, inner] = v
# Calculate new search direction
v = ravel(A*v)
# Factor in all Householder orthogonal reflections on new search
# direction
# for j in range(inner+1):
# v = v - 2.0*dot(conjugate(W[j,:]), v)*W[j,:]
amg_core.apply_householders(v, ravel(W), dimen, 0, inner+1, 1)
# Calculate next Householder reflector, w
# w = v[inner+1:] + sign(v[inner+1])*||v[inner+1:]||_2*e_{inner+1)
# Note that if max_inner = dimen, then this is unnecessary for
# the last inner iteration, when inner = dimen-1. Here we do
# not need to calculate a Householder reflector or Givens
# rotation because nnz(v) is already the desired length,
# i.e. we do not need to zero anything out.
if inner != dimen-1:
if inner < (max_inner-1):
w = W[inner+1, :]
vslice = v[inner+1:]
alpha = norm(vslice)
if alpha != 0:
alpha = mysign(vslice[0])*alpha
# do not need the final reflector for future calculations
if inner < (max_inner-1):
w[inner+1:] = vslice
w[inner+1] += alpha
w /= norm(w)
# Apply new reflector to v
# v = v - 2.0*w*(w.T*v)
v[inner+1] = -alpha
v[inner+2:] = 0.0
if inner > 0:
# Apply all previous Givens Rotations to v
amg_core.apply_givens(Q, v, dimen, inner)
# Calculate the next Givens rotation, where j = inner Note that if
# max_inner = dimen, then this is unnecessary for the last inner
# iteration, when inner = dimen-1. Here we do not need to
# calculate a Householder reflector or Givens rotation because
# nnz(v) is already the desired length, i.e. we do not need to zero
# anything out.
if inner != dimen-1:
if v[inner+1] != 0:
[c, s] = rotg(v[inner], v[inner+1])
Qblock = array([[c, s], [-conjugate(s), c]], dtype=xtype)
Q[(inner*4): ((inner+1)*4)] = ravel(Qblock).copy()
# Apply Givens Rotation to g, the RHS for the linear system
# in the Krylov Subspace. Note that this dot does a matrix
# multiply, not an actual dot product where a conjugate
# transpose is taken
g[inner:inner+2] = dot(Qblock, g[inner:inner+2])
# Apply effect of Givens Rotation to v
v[inner] = dot(Qblock[0, :], v[inner:inner+2])
v[inner+1] = 0.0
# Write to upper Hessenberg Matrix,
# the LHS for the linear system in the Krylov Subspace
H[:, inner] = v[0:max_inner]
# Don't update normr if last inner iteration, because
# normr is calculated directly after this loop ends.
if inner < max_inner-1:
normr = abs(g[inner+1])
if normr < tol:
break
# Allow user access to residual
if callback is not None:
callback(normr)
if keep_r:
residuals.append(normr)
niter += 1
# end inner loop, back to outer loop
# Find best update to x in Krylov Space, V. Solve inner+1 x inner+1
# system. Apparently this is the best way to solve a triangular system
# in the magical world of scipy
# piv = arange(inner+1)
# y = lu_solve((H[0:(inner+1),0:(inner+1)], piv),
# g[0:(inner+1)], trans=0)
y = sp.linalg.solve(H[0:(inner+1), 0:(inner+1)], g[0:(inner+1)])
# No Horner like scheme exists because the preconditioner can change
# each iteration # Hence, we must store each preconditioned vector
update = dot(Z[:, 0:inner+1], y)
x = x + update
r = b - ravel(A*x)
normr = norm(r)
# Allow user access to residual
if callback is not None:
callback(normr)
if keep_r:
residuals.append(normr)
# Has fGMRES stagnated?
indices = (x != 0)
if indices.any():
change = max(abs(update[indices] / x[indices]))
if change < 1e-12:
# No change, halt
return (postprocess(x), -1)
# test for convergence
if normr < tol:
return (postprocess(x), 0)
# end outer loop
return (postprocess(x), niter)
def gmres_householder(A,
b,
x0=None,
tol=1e-5,
restrt=None,
maxiter=None,
xtype=None,
M=None,
callback=None,
residuals=None):
'''
Generalized Minimum Residual Method (GMRES)
GMRES iteratively refines the initial solution guess to the
system Ax = b
Householder reflections are used for orthogonalization
Parameters
----------
A : {array, matrix, sparse matrix, LinearOperator}
n x n, linear system to solve
b : {array, matrix}
right hand side, shape is (n,) or (n, 1)
x0 : {array, matrix}
initial guess, default is a vector of zeros
tol : float
relative convergence tolerance, i.e. tol is scaled by the norm
of the initial preconditioned residual
restrt : {None, int}
- if int, restrt is max number of inner iterations
and maxiter is the max number of outer iterations
- if None, do not restart GMRES, and max number of inner iterations
is maxiter
maxiter : {None, int}
- if restrt is None, maxiter is the max number of inner iterations
and GMRES does not restart
- if restrt is int, maxiter is the max number of outer iterations,
and restrt is the max number of inner iterations
xtype : type
dtype for the solution, default is automatic type detection
M : {array, matrix, sparse matrix, LinearOperator}
n x n, inverted preconditioner, i.e. solve M A x = M b.
callback : function
User-supplied function is called after each iteration as
callback( ||rk||_2 ), where rk is the current preconditioned residual
vector
residuals : list
residuals contains the preconditioned residual norm history,
including the initial residual.
Returns
-------
(xNew, info)
xNew : an updated guess to the solution of Ax = b
info : halting status of gmres
== =============================================
0 successful exit
>0 convergence to tolerance not achieved,
return iteration count instead. This value
is precisely the order of the Krylov space.
<0 numerical breakdown, or illegal input
== =============================================
Notes
-----
- The LinearOperator class is in scipy.sparse.linalg.interface.
Use this class if you prefer to define A or M as a mat-vec routine
as opposed to explicitly constructing the matrix. A.psolve(..) is
still supported as a legacy.
- For robustness, Householder reflections are used to orthonormalize
the Krylov Space
Givens Rotations are used to provide the residual norm each iteration
Examples
--------
>>> from pyamg.krylov import gmres
>>> from pyamg.util.linalg import norm
>>> import numpy as np
>>> from pyamg.gallery import poisson
>>> A = poisson((10, 10))
>>> b = np.ones((A.shape[0],))
>>> (x, flag) = gmres(A, b, maxiter=2, tol=1e-8, orthog='householder')
>>> print norm(b - A*x)
6.5428213057
References
----------
.. [1] Yousef Saad, "Iterative Methods for Sparse Linear Systems,
Second Edition", SIAM, pp. 151-172, pp. 272-275, 2003
http://www-users.cs.umn.edu/~saad/books.html
'''
# Convert inputs to linear system, with error checking
A, M, x, b, postprocess = make_system(A, M, x0, b)
dimen = A.shape[0]
# Ensure that warnings are always reissued from this function
import warnings
warnings.filterwarnings('always',
module='pyamg\.krylov\._gmres_householder')
# Choose type
if not hasattr(A, 'dtype'):
Atype = upcast(x.dtype, b.dtype)
else:
Atype = A.dtype
if not hasattr(M, 'dtype'):
Mtype = upcast(x.dtype, b.dtype)
else:
Mtype = M.dtype
xtype = upcast(Atype, x.dtype, b.dtype, Mtype)
if restrt is not None:
restrt = int(restrt)
if maxiter is not None:
maxiter = int(maxiter)
# Should norm(r) be kept
if residuals == []:
keep_r = True
else:
keep_r = False
# Set number of outer and inner iterations
if restrt:
if maxiter:
max_outer = maxiter
else:
max_outer = 1
if restrt > dimen:
warn('Setting number of inner iterations (restrt) to maximum \
allowed, which is A.shape[0] ')
restrt = dimen
max_inner = restrt
else:
max_outer = 1
if maxiter > dimen:
warn('Setting number of inner iterations (maxiter) to maximum \
allowed, which is A.shape[0] ')
maxiter = dimen
elif maxiter is None:
maxiter = min(dimen, 40)
max_inner = maxiter
# Get fast access to underlying LAPACK routine
[lartg] = get_lapack_funcs(['lartg'], [x])
# Is this a one dimensional matrix?
if dimen == 1:
entry = ravel(A * array([1.0], dtype=xtype))
return (postprocess(b / entry), 0)
# Prep for method
r = b - ravel(A * x)
# Apply preconditioner
r = ravel(M * r)
normr = norm(r)
if keep_r:
residuals.append(normr)
# Check for nan, inf
# if isnan(r).any() or isinf(r).any():
# warn('inf or nan after application of preconditioner')
# return(postprocess(x), -1)
# Check initial guess ( scaling by b, if b != 0,
# must account for case when norm(b) is very small)
normb = norm(b)
if normb == 0.0:
normb = 1.0
if normr < tol * normb:
if callback is not None:
callback(norm(r))
return (postprocess(x), 0)
# Scale tol by ||r_0||_2, we use the preconditioned residual
# because this is left preconditioned GMRES.
if normr != 0.0:
tol = tol * normr
# Use separate variable to track iterations. If convergence fails, we
# cannot simply report niter = (outer-1)*max_outer + inner. Numerical
# error could cause the inner loop to halt while the actual ||r|| > tol.
niter = 0
# Begin GMRES
for outer in range(max_outer):
# Calculate vector w, which defines the Householder reflector
# Take shortcut in calculating,
# w = r + sign(r[1])*||r||_2*e_1
w = r
beta = mysign(w[0]) * normr
w[0] = w[0] + beta
w[:] = w / norm(w)
# Preallocate for Krylov vectors, Householder reflectors and
# Hessenberg matrix
# Space required is O(dimen*max_inner)
# Givens Rotations
Q = zeros((4 * max_inner, ), dtype=xtype)
# upper Hessenberg matrix (made upper tri with Givens Rotations)
H = zeros((max_inner, max_inner), dtype=xtype)
# Householder reflectors
W = zeros((max_inner + 1, dimen), dtype=xtype)
W[0, :] = w
# Multiply r with (I - 2*w*w.T), i.e. apply the Householder reflector
# This is the RHS vector for the problem in the Krylov Space
g = zeros((dimen, ), dtype=xtype)
g[0] = -beta
for inner in range(max_inner):
# Calculate Krylov vector in two steps
# (1) Calculate v = P_j = (I - 2*w*w.T)v, where k = inner
v = -2.0 * conjugate(w[inner]) * w
v[inner] = v[inner] + 1.0
# (2) Calculate the rest, v = P_1*P_2*P_3...P_{j-1}*ej.
# for j in range(inner-1,-1,-1):
# v -= 2.0*dot(conjugate(W[j,:]), v)*W[j,:]
amg_core.apply_householders(v, ravel(W), dimen, inner - 1, -1, -1)
# Calculate new search direction
v = ravel(A * v)
# Apply preconditioner
v = ravel(M * v)
# Check for nan, inf
# if isnan(v).any() or isinf(v).any():
# warn('inf or nan after application of preconditioner')
# return(postprocess(x), -1)
# Factor in all Householder orthogonal reflections on new search
# direction
# for j in range(inner+1):
# v -= 2.0*dot(conjugate(W[j,:]), v)*W[j,:]
amg_core.apply_householders(v, ravel(W), dimen, 0, inner + 1, 1)
# Calculate next Householder reflector, w
# w = v[inner+1:] + sign(v[inner+1])*||v[inner+1:]||_2*e_{inner+1)
# Note that if max_inner = dimen, then this is unnecessary for the
# last inner iteration, when inner = dimen-1. Here we do not need
# to calculate a Householder reflector or Givens rotation because
# nnz(v) is already the desired length, i.e. we do not need to
# zero anything out.
if inner != dimen - 1:
if inner < (max_inner - 1):
w = W[inner + 1, :]
vslice = v[inner + 1:]
alpha = norm(vslice)
if alpha != 0:
alpha = mysign(vslice[0]) * alpha
# do not need the final reflector for future calculations
if inner < (max_inner - 1):
w[inner + 1:] = vslice
w[inner + 1] += alpha
w[:] = w / norm(w)
# Apply new reflector to v
# v = v - 2.0*w*(w.T*v)
v[inner + 1] = -alpha
v[inner + 2:] = 0.0
if inner > 0:
# Apply all previous Givens Rotations to v
amg_core.apply_givens(Q, v, dimen, inner)
# Calculate the next Givens rotation, where j = inner Note that if
# max_inner = dimen, then this is unnecessary for the last inner
# iteration, when inner = dimen-1. Here we do not need to
# calculate a Householder reflector or Givens rotation because
# nnz(v) is already the desired length, i.e. we do not need to zero
# anything out.
if inner != dimen - 1:
if v[inner + 1] != 0:
[c, s, r] = lartg(v[inner], v[inner + 1])
Qblock = array([[c, s], [-conjugate(s), c]], dtype=xtype)
Q[(inner * 4):((inner + 1) * 4)] = ravel(Qblock).copy()
# Apply Givens Rotation to g, the RHS for the linear system
# in the Krylov Subspace. Note that this dot does a matrix
# multiply, not an actual dot product where a conjugate
# transpose is taken
g[inner:inner + 2] = dot(Qblock, g[inner:inner + 2])
# Apply effect of Givens Rotation to v
v[inner] = dot(Qblock[0, :], v[inner:inner + 2])
v[inner + 1] = 0.0
# Write to upper Hessenberg Matrix,
# the LHS for the linear system in the Krylov Subspace
H[:, inner] = v[0:max_inner]
niter += 1
# Don't update normr if last inner iteration, because
# normr is calculated directly after this loop ends.
if inner < max_inner - 1:
normr = abs(g[inner + 1])
if normr < tol:
break
# Allow user access to residual
if callback is not None:
callback(normr)
if keep_r:
residuals.append(normr)
# end inner loop, back to outer loop
# Find best update to x in Krylov Space, V. Solve inner+1 x inner+1
# system. Apparently this is the best way to solve a triangular system
# in the magical world of scipy
# piv = arange(inner+1)
# y = lu_solve((H[0:(inner+1), 0:(inner+1)], piv), g[0:(inner+1)],
# trans=0)
y = sp.linalg.solve(H[0:(inner + 1), 0:(inner + 1)], g[0:(inner + 1)])
# Use Horner like Scheme to map solution, y, back to original space.
# Note that we do not use the last reflector.
update = zeros(x.shape, dtype=xtype)
# for j in range(inner,-1,-1):
# update[j] += y[j]
# # Apply j-th reflector, (I - 2.0*w_j*w_j.T)*upadate
# update -= 2.0*dot(conjugate(W[j,:]), update)*W[j,:]
amg_core.householder_hornerscheme(update, ravel(W), ravel(y), dimen,
inner, -1, -1)
x[:] = x + update
r = b - ravel(A * x)
# Apply preconditioner
r = ravel(M * r)
normr = norm(r)
# Check for nan, inf
# if isnan(r).any() or isinf(r).any():
# warn('inf or nan after application of preconditioner')
# return(postprocess(x), -1)
# Allow user access to residual
if callback is not None:
callback(normr)
if keep_r:
residuals.append(normr)
# Has GMRES stagnated?
indices = (x != 0)
if indices.any():
change = max(abs(update[indices] / x[indices]))
if change < 1e-12:
# No change, halt
return (postprocess(x), -1)
# test for convergence
if normr < tol:
return (postprocess(x), 0)
# end outer loop
return (postprocess(x), niter)
def fgmres(A,
b,
x0=None,
tol=1e-5,
restrt=None,
maxiter=None,
M=None,
callback=None,
residuals=None):
"""Flexible Generalized Minimum Residual Method (fGMRES).
fGMRES iteratively refines the initial solution guess to the
system Ax = b. fGMRES is flexible in the sense that the right
preconditioner (M) can vary from iteration to iteration.
Parameters
----------
A : array, matrix, sparse matrix, LinearOperator
n x n, linear system to solve
b : array, matrix
right hand side, shape is (n,) or (n,1)
x0 : array, matrix
initial guess, default is a vector of zeros
tol : float
Tolerance for stopping criteria, let r=r_k
||r|| < tol ||b||
if ||b||=0, then set ||b||=1 for these tests.
restrt : None, int
- if int, restrt is max number of inner iterations
and maxiter is the max number of outer iterations
- if None, do not restart GMRES, and max number of inner iterations
is maxiter
maxiter : None, int
- if restrt is None, maxiter is the max number of inner iterations
and GMRES does not restart
- if restrt is int, maxiter is the max number of outer iterations,
and restrt is the max number of inner iterations
- defaults to min(n,40) if restart=None
M : array, matrix, sparse matrix, LinearOperator
n x n, inverted preconditioner, i.e. solve M A x = M b.
M need not be stationary for fgmres
callback : function
User-supplied function is called after each iteration as
callback(xk), where xk is the current solution vector
residuals : list
residual history in the 2-norm, including the initial residual
reorth : boolean
If True, then a check is made whether to re-orthogonalize the Krylov
space each GMRES iteration
Returns
-------
xk, info
xk : an updated guess after k iterations to the solution of Ax = b
info : halting status
== =======================================
0 successful exit
>0 convergence to tolerance not achieved,
return iteration count instead.
<0 numerical breakdown, or illegal input
== =======================================
Notes
-----
The LinearOperator class is in scipy.sparse.linalg.interface.
Use this class if you prefer to define A or M as a mat-vec routine
as opposed to explicitly constructing the matrix.
fGMRES allows for non-stationary preconditioners, as opposed to GMRES
For robustness, Householder reflections are used to orthonormalize
the Krylov Space
Givens Rotations are used to provide the residual norm each iteration
Flexibility implies that the right preconditioner, M, can
vary from iteration to iteration
Examples
--------
>>> from pyamg.krylov import fgmres
>>> from pyamg.util.linalg import norm
>>> import numpy as np
>>> from pyamg.gallery import poisson
>>> A = poisson((10,10))
>>> b = np.ones((A.shape[0],))
>>> (x,flag) = fgmres(A,b, maxiter=2, tol=1e-8)
>>> print(f'{norm(b - A*x):.6}')
6.54282
References
----------
.. [1] Yousef Saad, "Iterative Methods for Sparse Linear Systems,
Second Edition", SIAM, pp. 151-172, pp. 272-275, 2003
http://www-users.cs.umn.edu/~saad/books.html
"""
# Convert inputs to linear system, with error checking
A, M, x, b, postprocess = make_system(A, M, x0, b)
n = A.shape[0]
# Ensure that warnings are always reissued from this function
warnings.filterwarnings('always', module='pyamg.krylov._fgmres')
# Get fast access to underlying BLAS routines
[lartg] = get_lapack_funcs(['lartg'], [x])
# Set number of outer and inner iterations
# If no restarts,
# then set max_inner=maxiter and max_outer=n
# If restarts are set,
# then set max_inner=restart and max_outer=maxiter
if restrt:
if maxiter:
max_outer = maxiter
else:
max_outer = 1
if restrt > n:
warn('Setting restrt to maximum allowed, n.')
restrt = n
max_inner = restrt
else:
max_outer = 1
if maxiter > n:
warn('Setting maxiter to maximum allowed, n.')
maxiter = n
elif maxiter is None:
maxiter = min(n, 40)
max_inner = maxiter
# Is this a one dimensional matrix?
if n == 1:
entry = np.ravel(A @ np.array([1.0], dtype=x.dtype))
return (postprocess(b / entry), 0)
# Prep for method
r = b - A @ x
normr = norm(r)
if residuals is not None:
residuals[:] = [normr] # initial residual
# Check initial guess if b != 0,
normb = norm(b)
if normb == 0.0:
normb = 1.0 # reset so that tol is unscaled
if normr < tol * normb:
return (postprocess(x), 0)
# Use separate variable to track iterations. If convergence fails,
# we cannot simply report niter = (outer-1)*max_outer + inner. Numerical
# error could cause the inner loop to halt while the actual ||r|| > tol.
niter = 0
# Begin fGMRES
for _outer in range(max_outer):
# Calculate vector w, which defines the Householder reflector
# Take shortcut in calculating,
# w = r + sign(r[1])*||r||_2*e_1
w = r
beta = _mysign(w[0]) * normr
w[0] += beta
w /= norm(w)
# Preallocate for Krylov vectors, Householder reflectors and Hessenberg
# matrix
# Space required is O(n*max_inner)
# Givens Rotations
Q = np.zeros((4 * max_inner, ), dtype=x.dtype)
# upper Hessenberg matrix (made upper tri with Givens Rotations)
H = np.zeros((max_inner, max_inner), dtype=x.dtype)
W = np.zeros((max_inner, n), dtype=x.dtype) # Householder reflectors
# For fGMRES, preconditioned vectors must be stored
# No Horner-like scheme exists that allow us to avoid this
Z = np.zeros((n, max_inner), dtype=x.dtype)
W[0, :] = w
# Multiply r with (I - 2*w*w.T), i.e. apply the Householder reflector
# This is the RHS vector for the problem in the Krylov Space
g = np.zeros((n, ), dtype=x.dtype)
g[0] = -beta
for inner in range(max_inner):
# Calculate Krylov vector in two steps
# (1) Calculate v = P_j = (I - 2*w*w.T)v, where k = inner
v = -2.0 * np.conjugate(w[inner]) * w
v[inner] += 1.0
# (2) Calculate the rest, v = P_1*P_2*P_3...P_{j-1}*ej.
# for j in range(inner-1,-1,-1):
# v = v - 2.0*dot(conjugate(W[j,:]), v)*W[j,:]
amg_core.apply_householders(v, np.ravel(W), n, inner - 1, -1, -1)
# Apply preconditioner
v = M @ v
# Check for nan, inf
# if isnan(v).any() or isinf(v).any():
# warn('inf or nan after application of preconditioner')
# return(postprocess(x), -1)
Z[:, inner] = v
# Calculate new search direction
v = A @ v
# Factor in all Householder orthogonal reflections on new search
# direction
# for j in range(inner+1):
# v = v - 2.0*dot(conjugate(W[j,:]), v)*W[j,:]
amg_core.apply_householders(v, np.ravel(W), n, 0, inner + 1, 1)
# Calculate next Householder reflector, w
# w = v[inner+1:] + sign(v[inner+1])*||v[inner+1:]||_2*e_{inner+1)
# Note that if max_inner = n, then this is unnecessary for
# the last inner iteration, when inner = n-1. Here we do
# not need to calculate a Householder reflector or Givens
# rotation because nnz(v) is already the desired length,
# i.e. we do not need to zero anything out.
if inner != n - 1:
if inner < (max_inner - 1):
w = W[inner + 1, :]
vslice = v[inner + 1:]
alpha = norm(vslice)
if alpha != 0:
alpha = _mysign(vslice[0]) * alpha
# do not need the final reflector for future calculations
if inner < (max_inner - 1):
w[inner + 1:] = vslice
w[inner + 1] += alpha
w /= norm(w)
# Apply new reflector to v
# v = v - 2.0*w*(w.T*v)
v[inner + 1] = -alpha
v[inner + 2:] = 0.0
if inner > 0:
# Apply all previous Givens Rotations to v
amg_core.apply_givens(Q, v, n, inner)
# Calculate the next Givens rotation, where j = inner Note that if
# max_inner = n, then this is unnecessary for the last inner
# iteration, when inner = n-1. Here we do not need to
# calculate a Householder reflector or Givens rotation because
# nnz(v) is already the desired length, i.e. we do not need to zero
# anything out.
if inner != n - 1:
if v[inner + 1] != 0:
[c, s, r] = lartg(v[inner], v[inner + 1])
Qblock = np.array([[c, s], [-np.conjugate(s), c]],
dtype=x.dtype)
Q[(inner * 4):((inner + 1) * 4)] = np.ravel(Qblock).copy()
# Apply Givens Rotation to g, the RHS for the linear system
# in the Krylov Subspace. Note that this dot does a matrix
# multiply, not an actual dot product where a conjugate
# transpose is taken
g[inner:inner + 2] = np.dot(Qblock, g[inner:inner + 2])
# Apply effect of Givens Rotation to v
v[inner] = np.dot(Qblock[0, :], v[inner:inner + 2])
v[inner + 1] = 0.0
# Write to upper Hessenberg Matrix,
# the LHS for the linear system in the Krylov Subspace
H[:, inner] = v[0:max_inner]
# Don't update normr if last inner iteration, because
# normr is calculated directly after this loop ends.
if inner < max_inner - 1:
normr = np.abs(g[inner + 1])
if normr < tol * normb:
break
if residuals is not None:
residuals.append(normr)
if callback is not None:
y = sp.linalg.solve(H[0:(inner + 1), 0:(inner + 1)],
g[0:(inner + 1)])
update = np.dot(Z[:, 0:inner + 1], y)
callback(x + update)
niter += 1
# end inner loop, back to outer loop
# Find best update to x in Krylov Space, V. Solve inner+1 x inner+1
# system. Apparently this is the best way to solve a triangular system
# in the magical world of scipy
# piv = arange(inner+1)
# y = lu_solve((H[0:(inner+1),0:(inner+1)], piv),
# g[0:(inner+1)], trans=0)
y = sp.linalg.solve(H[0:(inner + 1), 0:(inner + 1)], g[0:(inner + 1)])
# No Horner like scheme exists because the preconditioner can change
# each iteration # Hence, we must store each preconditioned vector
update = np.dot(Z[:, 0:inner + 1], y)
x = x + update
r = b - A @ x
# Allow user access to the iterates
if callback is not None:
callback(x)
normr = norm(r)
if residuals is not None:
residuals.append(normr)
# Has fGMRES stagnated?
indices = (x != 0)
if indices.any():
change = np.max(np.abs(update[indices] / x[indices]))
if change < 1e-12:
# No change, halt
return (postprocess(x), -1)
# test for convergence
if normr < tol * normb:
return (postprocess(x), 0)
# end outer loop
return (postprocess(x), niter)