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Convergence of inexact inverse iteration with application to preconditioned iterative solves


Reference:

Freitag, M. and Spence, A., 2007. Convergence of inexact inverse iteration with application to preconditioned iterative solves. BIT Numerical Mathematics, 47 (1), pp. 27-44.

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    Official URL:

    http://www.springerlink.com/content/eg27mk213gr75061/

    Abstract

    In this paper we study inexact inverse iteration for solving the generalised eigenvalue problem A x=λM x. We show that inexact inverse iteration is a modified Newton method and hence obtain convergence rates for various versions of inexact inverse iteration for the calculation of an algebraically simple eigenvalue. In particular, if the inexact solves are carried out with a tolerance chosen proportional to the eigenvalue residual then quadratic convergence is achieved. We also show how modifying the right hand side in inverse iteration still provides a convergent method, but the rate of convergence will be quadratic only under certain conditions on the right hand side. We discuss the implications of this for the preconditioned iterative solution of the linear systems. Finally we introduce a new ILU preconditioner which is a simple modification to the usual preconditioner, but which has advantages both for the standard form of inverse iteration and for the version with a modified right hand side. Numerical examples are given to illustrate the theoretical results.

    Details

    Item Type Articles
    CreatorsFreitag, M.and Spence, A.
    DOI10.1007/s10543-006-0100-1
    Uncontrolled Keywordspreconditioned iterative methods, newton’s method, inverse iteration
    DepartmentsFaculty of Science > Mathematical Sciences
    RefereedYes
    StatusPublished
    ID Code169
    Additional Information©The original publication is available at www.springerlink.com

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