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Open AccessJournal ArticleDOI

Preconditioning techniques for large linear systems: a survey

Michele Benzi
- 01 Nov 2002 - 
- Vol. 182, Iss: 2, pp 418-477
TLDR
This article surveys preconditioning techniques for the iterative solution of large linear systems, with a focus on algebraic methods suitable for general sparse matrices, including progress in incomplete factorization methods, sparse approximate inverses, reorderings, parallelization issues, and block and multilevel extensions.
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This article is published in Journal of Computational Physics.The article was published on 2002-11-01 and is currently open access. It has received 1219 citations till now. The article focuses on the topics: Iterative method.

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Citations
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Journal ArticleDOI

Numerical solution of saddle point problems

TL;DR: A large selection of solution methods for linear systems in saddle point form are presented, with an emphasis on iterative methods for large and sparse problems.
Journal ArticleDOI

Jacobian-free Newton-Krylov methods: a survey of approaches and applications

TL;DR: The aim of this paper is to present the reader with a perspective on how JFNK may be applicable to applications of interest and to provide sources of further practical information.
Journal ArticleDOI

O(N) methods in electronic structure calculations.

TL;DR: The theory behind the locality of electronic structure is described and related to physical properties of systems to be modelled, along with a survey of recent developments in real-space methods which are important for efficient use of high-performance computers.
Journal ArticleDOI

OSQP: An Operator Splitting Solver for Quadratic Programs

TL;DR: This work presents a general-purpose solver for convex quadratic programs based on the alternating direction method of multipliers, employing a novel operator splitting technique that requires the solution of a quasi-definite linear system with the same coefficient matrix at almost every iteration.
Journal ArticleDOI

Recent computational developments in krylov subspace methods for linear systems

TL;DR: Many advances in the development of Krylov subspace methods for the iterative solution of linear systems during the last decade and a half are reviewed.
References
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Book

Matrix computations

Gene H. Golub
Book

Iterative Methods for Sparse Linear Systems

Yousef Saad
TL;DR: This chapter discusses methods related to the normal equations of linear algebra, and some of the techniques used in this chapter were derived from previous chapters of this book.
Journal ArticleDOI

GMRES: a generalized minimal residual algorithm for solving nonsymmetric linear systems

TL;DR: An iterative method for solving linear systems, which has the property of minimizing at every step the norm of the residual vector over a Krylov subspace.
Journal ArticleDOI

Methods of Conjugate Gradients for Solving Linear Systems

TL;DR: An iterative algorithm is given for solving a system Ax=k of n linear equations in n unknowns and it is shown that this method is a special case of a very general method which also includes Gaussian elimination.
Frequently Asked Questions (15)
Q1. What are the contributions mentioned in the paper "Preconditioning techniques for large linear systems: a survey" ?

This article surveys preconditioning techniques for the iterative solution of large linear systems, with a focus on algebraic methods suitable for general sparse matrices. An extensive bibliography completes the paper. 

Reorderings have been used to reduce fill-in (as with sparse direct solvers), to introduce parallelism in the construction and application of ILU preconditioners, and to improve the stability of the incomplete factorization. 

Postfiltration (i.e., a posteriori removal of small entries) is used to reduce the cost of applying the preconditioner, usually without adversely affecting the rate of convergence. 

This lack of robustness of incomplete factorization is one of the main reasons iterative methods have not been widely used in industrial applications, where reliability is paramount. 

At this time, stationary iterative methods, such as successive overrelaxation (SOR) and its variants, were perfected and widely applied to the solution of large linear systems arising from the discretization of PDEs of elliptic type. 

It was motivated by the hope that if only a few of the pivots are unstable (i.e., nonpositive), the resulting factorization might still yield a satisfactory preconditioner. 

Because of the initialization chosen (step (1) in Algorithm 5.2), the z- and w-vectors are initially very sparse; however, the updates in step (8) cause them to fill in rapidly (see [40, 43, 64] for graph-theoretical characterizations of fill-in in Algorithm 5.2). 

In spite of their mathematical elegance, stationary iterations suffer from serious limitations, such as lack of sufficient generality and dependence on convergence parameters that might be difficult to estimate without a priori information, for example on the spectrum of the coefficient matrix. 

Bi-CGSTAB with no preconditioning requires 4033 iterations to reduce the intitial residual by eight orders of magnitude; this takes 10.1 s on one processor of a Sun Starfire server. 

the forward and backward triangular solves that form the preconditioning operation are highly sequential in nature, and parallelism in these operations is not readily apparent. 

while the number of iterations and even the time per iteration may go down with a block algorithm, using blocks which are not completely dense introduces additional arithmetic overhead that tends to offset the gains in convergence rates and flops rate. 

Because the pivots d j are computed as d j = 〈Az j , z j 〉, with z j = 0 (since the jth entry of z j is equal to 1), this preconditioner, which is usually referred to as SAINV, is well defined for a general SPD matrix. 

Notice that the incomplete factorization may fail due to division by zero (this is usually referred to as a breakdown), even if A admits an LU factorization without pivoting. 

the reliability of preconditioned iterative solvers applied to general sparse matrices, thus opening the door to the use of iterative methods in application areas which were previously the exclusive domain of direct solution methods. 

In spite of the large improvements that are possible for model problems through the idea of modification, modified incomplete factorizations are not as widely used as unmodified ones, possibly due to the fact that modified methods are more likely to break down on nonmodel problems.