Talk by Prof. Lothar Reichel from Department of Mathematical Sciences, Kent State University:
"The Arnoldi decomposition, GMRES, and preconditioning for linear discrete ill-posed problems"
The Arnoldi decomposition, GMRES, and preconditioning for linear discrete ill-posed problems
Professor Lothar Reichel
Department of Mathematical Sciences, Kent State University, OH,
11:00-12:00am / March 6th (Wed.)
Room 1212(Lecture Room 1), 12th floor, NII
GMRES is one of the most popular iterative methods for the solution of large linear systems of equations that arise from the discretization of linear well-posed problems, such as boundary value problems for elliptic partial differential equations. The method is also applied to the iterative solution of linear systems of equations that are obtained by discretizing linear ill-posed problems, such as many inverse problems.
However, GMRES does not always perform well when applied to the latter kind of problems.
This talk seeks to shed some light on reasons for the poor performance of GMRES in certain situations, and discusses some remedies based on specific kinds of preconditioning. The standard implementation of GMRES is based on the Arnoldi process, which also can be used to define a solution subspace for Tikhonov or TSVD regularization, giving rise to the Arnoldi-Tikhonov and Arnoldi-TSVD methods, respectively. The performance of the GMRES and the latter methods is discussed.
hayami [at] nii.ac.jp