17 April 2008

Preconditioners as eigenvalue clusterers

At the Copper Mountain Iterative Methods conference this year, I heard a really good explanation of how preconditioners work, from a PhD student at the University of Manchester. (Thanks Richard!) He explained to me that one can think of a Krylov subspace method as polynomial interpolation of the spectrum of the matrix. Each time you do a matrix-vector multiply, you increase the polynomial's degree by one. (This gets more clear if you've seen the proof that conjugate gradients is optimal in the norm induced by the matrix.)

If the matrix's eigenvalues are evenly distributed, it will get harder and harder to interpolate the spectrum, because of the Gibbs phenomenon. In contrast, if one eigenvalue is separated from the others, it's easy to interpolate that part of the spectrum accurately and "pick off" the separated eigenvalue. This is called "deflation." After this point, the Krylov method converges pretty much as if the separated eigenvalue wasn't there. This makes the goal of a good preconditioner clear: It should separate and cluster the eigenvalues (away from the origin), so that the Krylov method can pick off the clusters.

If I may also engage in some speculation, this perhaps also explains one reason why block preconditioners are popular in multiphysics solvers: they group together eigenmodes that are on similar scales, and separate unrelated eigenmodes. Of course, block preconditioning is the mathematical equivalent of encapsulation in the software engineering world: it lets you solve one problem at a time and then stitch together a combined solution out of the components. Mushing together all the subproblems into a single big problem loses the structure, whereas sparse linear algebra is all about exploiting structure.

(Originally posted 16 April 2008.)

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