diff --git a/docs/src/preconditioners.md b/docs/src/preconditioners.md index 9e248b994..133020dc0 100644 --- a/docs/src/preconditioners.md +++ b/docs/src/preconditioners.md @@ -41,9 +41,9 @@ A Krylov method dedicated to non-Hermitian linear systems allows the three varia Methods concerned: [`SYMMLQ`](@ref symmlq), [`CG`](@ref cg), [`CG-LANCZOS`](@ref cg_lanczos), [`CG-LANCZOS-SHIFT`](@ref cg_lanczos_shift), [`CR`](@ref cr), [`MINRES`](@ref minres) and [`MINRES-QLP`](@ref minres_qlp). -When $A$ is Hermitian, we can only use centered preconditioning $L^{-1}AL^{-T}y = L^{-1}b$ with $x = L^{-T}y$. -Centered preconditioning is a special case of two-sided preconditioning with $P_{\ell} = L = P_r^T$ that maintains hermicity. -However, there is no need to specify $L$ and one may specify $P_c = LL^T$ or its inverse directly. +When $A$ is Hermitian, we can only use centered preconditioning $L^{-1}AL^{-H}y = L^{-1}b$ with $x = L^{-H}y$. +Centered preconditioning is a special case of two-sided preconditioning with $P_{\ell} = L = P_r^H$ that maintains hermicity. +However, there is no need to specify $L$ and one may specify $P_c = LL^H$ or its inverse directly. | Preconditioners | $P_c^{-1}$ | $P_c$ | |:---------------:|:-------------------------:|:--------------------:| @@ -59,16 +59,16 @@ Methods concerned: [`CGLS`](@ref cgls), [`CRLS`](@ref crls), [`LSLQ`](@ref lslq) | Formulation | Without preconditioning | With preconditioning | |:---------------------:|:------------------------------------:|:-------------------------------------------:| | least-squares problem | $\min \tfrac{1}{2} \\|b - Ax\\|^2_2$ | $\min \tfrac{1}{2} \\|b - Ax\\|^2_{E^{-1}}$ | -| Normal equation | $A^TAx = A^Tb$ | $A^TE^{-1}Ax = A^TE^{-1}b$ | -| Augmented system | $\begin{bmatrix} I & A \\ A^T & 0 \end{bmatrix} \begin{bmatrix} r \\ x \end{bmatrix} = \begin{bmatrix} b \\ 0 \end{bmatrix}$ | $\begin{bmatrix} E & A \\ A^T & 0 \end{bmatrix} \begin{bmatrix} r \\ x \end{bmatrix} = \begin{bmatrix} b \\ 0 \end{bmatrix}$ | +| Normal equation | $A^HAx = A^Hb$ | $A^HE^{-1}Ax = A^HE^{-1}b$ | +| Augmented system | $\begin{bmatrix} I & A \\ A^H & 0 \end{bmatrix} \begin{bmatrix} r \\ x \end{bmatrix} = \begin{bmatrix} b \\ 0 \end{bmatrix}$ | $\begin{bmatrix} E & A \\ A^H & 0 \end{bmatrix} \begin{bmatrix} r \\ x \end{bmatrix} = \begin{bmatrix} b \\ 0 \end{bmatrix}$ | [`LSLQ`](@ref lslq), [`LSQR`](@ref lsqr) and [`LSMR`](@ref lsmr) also handle regularized least-squares problems. | Formulation | Without preconditioning | With preconditioning | |:---------------------:|:-------------------------------------------------------------------------:|:--------------------------------------------------------------------------------:| | least-squares problem | $\min \tfrac{1}{2} \\|b - Ax\\|^2_2 + \tfrac{1}{2} \lambda^2 \\|x\\|^2_2$ | $\min \tfrac{1}{2} \\|b - Ax\\|^2_{E^{-1}} + \tfrac{1}{2} \lambda^2 \\|x\\|^2_F$ | -| Normal equation | $(A^TA + \lambda^2 I)x = A^Tb$ | $(A^TE^{-1}A + \lambda^2 F)x = A^TE^{-1}b$ | -| Augmented system | $\begin{bmatrix} I & A \\ A^T & -\lambda^2 I \end{bmatrix} \begin{bmatrix} r \\ x \end{bmatrix} = \begin{bmatrix} b \\ 0 \end{bmatrix}$ | $\begin{bmatrix} E & A \\ A^T & -\lambda^2 F \end{bmatrix} \begin{bmatrix} r \\ x \end{bmatrix} = \begin{bmatrix} b \\ 0 \end{bmatrix}$ | +| Normal equation | $(A^HA + \lambda^2 I)x = A^Hb$ | $(A^HE^{-1}A + \lambda^2 F)x = A^HE^{-1}b$ | +| Augmented system | $\begin{bmatrix} I & A \\ A^H & -\lambda^2 I \end{bmatrix} \begin{bmatrix} r \\ x \end{bmatrix} = \begin{bmatrix} b \\ 0 \end{bmatrix}$ | $\begin{bmatrix} E & A \\ A^H & -\lambda^2 F \end{bmatrix} \begin{bmatrix} r \\ x \end{bmatrix} = \begin{bmatrix} b \\ 0 \end{bmatrix}$ | | Preconditioners | $E^{-1}$ | $E$ | $F^{-1}$ | $F$ | |:---------------:|:-----------------------:|:--------------------:|:-----------------------:|:--------------------:| @@ -84,16 +84,16 @@ Methods concerned: [`CGNE`](@ref cgne), [`CRMR`](@ref crmr), [`LNLQ`](@ref lnlq) | Formulation | Without preconditioning | With preconditioning | |:--------------------:|:----------------------------------------------------:|:----------------------------------------------------:| | minimum-norm problem | $\min \tfrac{1}{2} \\|x\\|^2_2~~\text{s.t.}~~Ax = b$ | $\min \tfrac{1}{2} \\|x\\|^2_F~~\text{s.t.}~~Ax = b$ | -| Normal equation | $AA^Ty = b~~\text{with}~~x = A^Ty$ | $AF^{-1}A^Ty = b~~\text{with}~~x = F^{-1}A^Ty$ | -| Augmented system | $\begin{bmatrix} -I & A^T \\ \phantom{-}A & 0 \end{bmatrix} \begin{bmatrix} x \\ y \end{bmatrix} = \begin{bmatrix} 0 \\ b \end{bmatrix}$ | $\begin{bmatrix} -F & A^T \\ \phantom{-}A & 0 \end{bmatrix} \begin{bmatrix} x \\ y \end{bmatrix} = \begin{bmatrix} 0 \\ b \end{bmatrix}$ | +| Normal equation | $AA^Hy = b~~\text{with}~~x = A^Hy$ | $AF^{-1}A^Hy = b~~\text{with}~~x = F^{-1}A^Hy$ | +| Augmented system | $\begin{bmatrix} -I & A^H \\ \phantom{-}A & 0 \end{bmatrix} \begin{bmatrix} x \\ y \end{bmatrix} = \begin{bmatrix} 0 \\ b \end{bmatrix}$ | $\begin{bmatrix} -F & A^H \\ \phantom{-}A & 0 \end{bmatrix} \begin{bmatrix} x \\ y \end{bmatrix} = \begin{bmatrix} 0 \\ b \end{bmatrix}$ | [`LNLQ`](@ref lslq), [`CRAIG`](@ref lsqr) and [`CRAIGMR`](@ref lsmr) also handle penalized minimum-norm problems. | Formulation | Without preconditioning | With preconditioning | |:--------------------:|:---------------------------------------------------------------------------------------------:|:----------------------------------------------------------------------------------------------:| | minimum-norm problem | $\min \tfrac{1}{2} \\|x\\|^2_2 + \tfrac{1}{2} \\|y\\|^2_2~~\text{s.t.}~~Ax + \lambda^2 y = b$ | $\min \tfrac{1}{2} \\|x\\|^2_F + \tfrac{1}{2} \\|y\\|^2_E~~\text{s.t.}~~Ax + \lambda^2 Ey = b$ | -| Normal equation | $(AA^T + \lambda^2 I)y = b~~\text{with}~~x = A^Ty$ | $(AF^{-1}A^T + \lambda^2 E)y = b~~\text{with}~~x = F^{-1}A^Ty$ | -| Augmented system | $\begin{bmatrix} -I & A^T \\ \phantom{-}A & \lambda^2 I \end{bmatrix} \begin{bmatrix} x \\ y \end{bmatrix} = \begin{bmatrix} 0 \\ b \end{bmatrix}$ | $\begin{bmatrix} -F & A^T \\ \phantom{-}A & \lambda^2 E \end{bmatrix} \begin{bmatrix} x \\ y \end{bmatrix} = \begin{bmatrix} 0 \\ b \end{bmatrix}$ | +| Normal equation | $(AA^H + \lambda^2 I)y = b~~\text{with}~~x = A^Hy$ | $(AF^{-1}A^H + \lambda^2 E)y = b~~\text{with}~~x = F^{-1}A^Hy$ | +| Augmented system | $\begin{bmatrix} -I & A^H \\ \phantom{-}A & \lambda^2 I \end{bmatrix} \begin{bmatrix} x \\ y \end{bmatrix} = \begin{bmatrix} 0 \\ b \end{bmatrix}$ | $\begin{bmatrix} -F & A^H \\ \phantom{-}A & \lambda^2 E \end{bmatrix} \begin{bmatrix} x \\ y \end{bmatrix} = \begin{bmatrix} 0 \\ b \end{bmatrix}$ | | Preconditioners | $E^{-1}$ | $E$ | $F^{-1}$ | $F$ | |:---------------:|:-----------------------:|:--------------------:|:-----------------------:|:--------------------:| @@ -106,7 +106,7 @@ Methods concerned: [`CGNE`](@ref cgne), [`CRMR`](@ref crmr), [`LNLQ`](@ref lnlq) [`TriCG`](@ref tricg) and [`TriMR`](@ref trimr) can take advantage of the structure of Hermitian systems $Kz = d$ with the 2x2 block structure ```math - \begin{bmatrix} \tau E & \phantom{-}A \\ A^T & \nu F \end{bmatrix} \begin{bmatrix} x \\ y \end{bmatrix} = \begin{bmatrix} b \\ c \end{bmatrix}, + \begin{bmatrix} \tau E & \phantom{-}A \\ A^H & \nu F \end{bmatrix} \begin{bmatrix} x \\ y \end{bmatrix} = \begin{bmatrix} b \\ c \end{bmatrix}, ``` | Preconditioners | $E^{-1}$ | $E$ | $F^{-1}$ | $F$ | |:---------------:|:---------------------:|:--------------------:|:---------------------:|:--------------------:|