Toward the Optimal Preconditioned Eigensolver: Locally Optimal Block Preconditioned Conjugate Gradient Method

Andrew V. Knyazev
Departmentof Mathematics
University of Colorado at Denver
P .O. Box 173364, CampusBox 170
Denver, CO 80217-3364
http://www-math.cudenver.edu/~aknyazev


Abstract

We describe new algorithms of the Locally Optimal Block Preconditioned Conjugate Gradient (LOBPCG) Method for symmetric eigenvalueproblems, based on a local optimization of a three-term recurrence, and suggest several other new methods. To be able to compare numerically different methods in the class, with different preconditioners, we propose a common system of model tests, using random preconditioners and initial guesses. As the "ideal" control algorithm, we advocate the standard preconditioned conjugate gradient method for finding an eigenvector as an element of the nullspace of the corresponding homogeneous system of linear equations under the assumption that the eigenvalue is known. We recommend that every new preconditioned eigensolver be compared with this "ideal" algorithm on our model test problems in terms of the speed of convergence, costs of every iterations and memory requirements. We provide such comparison for our LOBPCG method. Numerical results establish that our algorithm is practically as efficient as the "ideal" algorithm when the same preconditioner is used in both methods. We also show numerically that the LOBPCG method provides approximations to first eigenpairs of about the same quality as those by the much more expensive global optimization method on the same generalized block Krylov subspace. We propose a new version of block Davidson's method as a generalization of the LOBPCG method. Finally , direct numerical comparisons with the Jacobi-Davidson method show that our method is more robust and converges almost two times faster.

Key words. symmetric eigenvalueproblems, preconditioning, conjugate gradient methods, the Lanczos method

AMS(MOS) subject classifications. 65F15, 65N25