Accurate error estimation in CG

01/11/2021
by   Gérard Meurant, et al.
0

In practical computations, the (preconditioned) conjugate gradient (P)CG method is the iterative method of choice for solving systems of linear algebraic equations Ax=b with a real symmetric positive definite matrix A. During the iterations it is important to monitor the quality of the approximate solution x_k so that the process could be stopped whenever x_k is accurate enough. One of the most relevant quantities for monitoring the quality of x_k is the squared A-norm of the error vector x-x_k. This quantity cannot be easily evaluated, however, it can be estimated. Many of the existing estimation techniques are inspired by the view of CG as a procedure for approximating a certain Riemann–Stieltjes integral. The most natural technique is based on the Gauss quadrature approximation and provides a lower bound on the quantity of interest. The bound can be cheaply evaluated using terms that have to be computed anyway in the forthcoming CG iterations. If the squared A-norm of the error vector decreases rapidly, then the lower bound represents a tight estimate. In this paper we suggest a heuristic strategy aiming to answer the question of how many forthcoming CG iterations are needed to get an estimate with the prescribed accuracy. Numerical experiments demonstrate that the suggested strategy is efficient and robust.

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