Mercurial > octave-antonio
annotate scripts/sparse/bicgstab.m @ 14868:5d3a684236b0
maint: Use Octave coding conventions for cuddling parentheses in scripts directory
* lin2mu.m, loadaudio.m, wavread.m, accumarray.m, bicubic.m, celldisp.m,
colon.m, cplxpair.m, dblquad.m, divergence.m, genvarname.m, gradient.m,
int2str.m, interp1.m, interp1q.m, interp2.m, interpn.m, loadobj.m, nthargout.m,
__isequal__.m, __splinen__.m, quadgk.m, quadl.m, quadv.m, rat.m, rot90.m,
rotdim.m, saveobj.m, subsindex.m, triplequad.m, delaunay3.m, griddata.m,
inpolygon.m, tsearchn.m, voronoi.m, get_first_help_sentence.m, which.m,
gray2ind.m, pink.m, dlmwrite.m, strread.m, textread.m, textscan.m, housh.m,
ishermitian.m, issymmetric.m, krylov.m, logm.m, null.m, rref.m,
compare_versions.m, copyfile.m, dump_prefs.m, edit.m, fileparts.m,
getappdata.m, isappdata.m, movefile.m, orderfields.m, parseparams.m,
__xzip__.m, rmappdata.m, setappdata.m, swapbytes.m, unpack.m, ver.m, fminbnd.m,
fminunc.m, fsolve.m, glpk.m, lsqnonneg.m, qp.m, sqp.m, configure_make.m,
copy_files.m, describe.m, get_description.m, get_forge_pkg.m, install.m,
installed_packages.m, is_architecture_dependent.m, load_package_dirs.m,
print_package_description.m, rebuild.m, repackage.m, save_order.m, shell.m,
allchild.m, ancestor.m, area.m, axes.m, axis.m, clabel.m, close.m, colorbar.m,
comet.m, comet3.m, contour.m, cylinder.m, ezmesh.m, ezsurf.m, findobj.m,
fplot.m, hist.m, isocolors.m, isonormals.m, isosurface.m, isprop.m, legend.m,
mesh.m, meshz.m, pareto.m, pcolor.m, peaks.m, plot3.m, plotmatrix.m, plotyy.m,
polar.m, print.m, __add_datasource__.m, __add_default_menu__.m,
__axes_limits__.m, __bar__.m, __clabel__.m, __contour__.m, __errcomm__.m,
__errplot__.m, __ezplot__.m, __file_filter__.m, __fltk_print__.m,
__ghostscript__.m, __gnuplot_print__.m, __go_draw_axes__.m,
__go_draw_figure__.m, __interp_cube__.m, __marching_cube__.m, __patch__.m,
__pie__.m, __plt__.m, __print_parse_opts__.m, __quiver__.m, __scatter__.m,
__stem__.m, __tight_eps_bbox__.m, __uigetdir_fltk__.m, __uigetfile_fltk__.m,
__uiputfile_fltk__.m, quiver.m, quiver3.m, rectangle.m, refreshdata.m,
ribbon.m, scatter.m, semilogy.m, shading.m, slice.m, subplot.m, surface.m,
surfl.m, surfnorm.m, text.m, uigetfile.m, uiputfile.m, whitebg.m, deconv.m,
mkpp.m, pchip.m, polyaffine.m, polyder.m, polygcd.m, polyout.m, polyval.m,
ppint.m, ppjumps.m, ppval.m, residue.m, roots.m, spline.m, splinefit.m,
addpref.m, getpref.m, setpref.m, ismember.m, setxor.m, arch_fit.m, arch_rnd.m,
arch_test.m, autoreg_matrix.m, diffpara.m, fftconv.m, filter2.m, hanning.m,
hurst.m, periodogram.m, triangle_sw.m, sinc.m, spectral_xdf.m, spencer.m,
stft.m, synthesis.m, unwrap.m, yulewalker.m, bicgstab.m, gmres.m, pcg.m, pcr.m,
__sprand_impl__.m, speye.m, spfun.m, sprandn.m, spstats.m, svds.m,
treelayout.m, treeplot.m, bessel.m, factor.m, legendre.m, perms.m, primes.m,
magic.m, toeplitz.m, corr.m, cov.m, mean.m, median.m, mode.m, qqplot.m,
quantile.m, ranks.m, zscore.m, logistic_regression_likelihood.m,
bartlett_test.m, chisquare_test_homogeneity.m, chisquare_test_independence.m,
kolmogorov_smirnov_test.m, run_test.m, u_test.m, wilcoxon_test.m, z_test.m,
z_test_2.m, bin2dec.m, dec2base.m, mat2str.m, strcat.m, strchr.m, strjust.m,
strtok.m, substr.m, untabify.m, assert.m, demo.m, example.m, fail.m, speed.m,
test.m, now.m: Use Octave coding conventions for cuddling parentheses in
scripts directory.
author | Rik <octave@nomad.inbox5.com> |
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date | Tue, 17 Jul 2012 07:08:39 -0700 |
parents | 72b8b39e12be |
children | 12005245b645 |
rev | line source |
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1 ## Copyright (C) 2008-2012 Radek Salac |
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2 ## Copyright (C) 2012 Carlo de Falco |
8416 | 3 ## |
4 ## This file is part of Octave. | |
5 ## | |
6 ## Octave is free software; you can redistribute it and/or modify it | |
7 ## under the terms of the GNU General Public License as published by | |
8 ## the Free Software Foundation; either version 3 of the License, or (at | |
9 ## your option) any later version. | |
10 ## | |
11 ## Octave is distributed in the hope that it will be useful, but | |
12 ## WITHOUT ANY WARRANTY; without even the implied warranty of | |
13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
14 ## General Public License for more details. | |
15 ## | |
16 ## You should have received a copy of the GNU General Public License | |
17 ## along with Octave; see the file COPYING. If not, see | |
18 ## <http://www.gnu.org/licenses/>. | |
19 | |
20 ## -*- texinfo -*- | |
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21 ## @deftypefn {Function File} {@var{x} =} bicgstab (@var{A}, @var{b}, @var{rtol}, @var{maxit}, @var{M1}, @var{M2}, @var{x0}) |
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22 ## @deftypefnx {Function File} {@var{x} =} bicgstab (@var{A}, @var{b}, @var{rtol}, @var{maxit}, @var{P}) |
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23 ## @deftypefnx {Function File} {[@var{x}, @var{flag}, @var{relres}, @var{iter}, @var{resvec}] =} bicgstab (@var{A}, @var{b}, @dots{}) |
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24 ## Solve @code{A x = b} using the stabilizied Bi-conjugate gradient iterative |
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25 ## method. |
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26 ## |
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27 ## @itemize @minus |
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28 ## @item @var{rtol} is the relative tolerance, if not given or set to |
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29 ## [] the default value 1e-6 is used. |
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30 ## |
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31 ## @item @var{maxit} the maximum number of outer iterations, if not |
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32 ## given or set to [] the default value @code{min (20, numel (b))} is |
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33 ## used. |
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34 ## |
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35 ## @item @var{x0} the initial guess, if not given or set to [] the |
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36 ## default value @code{zeros (size (b))} is used. |
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37 ## @end itemize |
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38 ## |
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39 ## @var{A} can be passed as a matrix or as a function handle or |
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40 ## inline function @code{f} such that @code{f(x) = A*x}. |
8416 | 41 ## |
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42 ## The preconditioner @var{P} is given as @code{P = M1 * M2}. |
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43 ## Both @var{M1} and @var{M2} can be passed as a matrix or as a function |
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44 ## handle or inline function @code{g} such that @code{g(x) = M1 \ x} or |
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45 ## @code{g(x) = M2 \ x}. |
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46 ## |
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47 ## If called with more than one output parameter |
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48 ## |
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49 ## @itemize @minus |
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50 ## @item @var{flag} indicates the exit status: |
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51 ## |
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52 ## @itemize @minus |
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53 ## @item 0: iteration converged to the within the chosen tolerance |
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54 ## |
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55 ## @item 1: the maximum number of iterations was reached before convergence |
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56 ## |
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57 ## @item 3: the algorithm reached stagnation |
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58 ## @end itemize |
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59 ## (the value 2 is unused but skipped for compatibility). |
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60 ## |
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61 ## @item @var{relres} is the final value of the relative residual. |
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62 ## |
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63 ## @item @var{iter} is the number of iterations performed. |
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64 ## |
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65 ## @item @var{resvec} is a vector containing the relative residual at each iteration. |
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66 ## @end itemize |
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67 ## |
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68 ## @seealso{bicg, cgs, gmres, pcg} |
8416 | 69 ## |
70 ## @end deftypefn | |
71 | |
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72 function [x, flag, relres, iter, resvec] = bicgstab (A, b, tol, maxit, |
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73 M1, M2, x0) |
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75 if (nargin >= 2 && nargin <= 7 && isvector (full (b))) |
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76 |
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77 if (ischar (A)) |
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78 A = str2func (A); |
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79 elseif (ismatrix (A)) |
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80 Ax = @(x) A * x; |
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81 elseif (isa (A, "function_handle")) |
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82 Ax = @(x) feval (A, x); |
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83 else |
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84 error (["bicgstab: first argument is expected " ... |
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85 "to be a function or a square matrix"]); |
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86 endif |
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87 |
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88 if (nargin < 3 || isempty (tol)) |
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89 tol = 1e-6; |
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90 endif |
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92 if (nargin < 4 || isempty (maxit)) |
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93 maxit = min (rows (b), 20); |
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94 endif |
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96 if (nargin < 5 || isempty (M1)) |
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97 M1m1x = @(x) x; |
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98 elseif (ischar (M1)) |
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99 M1m1x = str2func (M1); |
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100 elseif (ismatrix (M1)) |
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101 M1m1x = @(x) M1 \ x; |
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102 elseif (isa (M1, "function_handle")) |
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103 M1m1x = @(x) feval (M1, x); |
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104 else |
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105 error (["bicgstab: preconditioner is " ... |
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106 "expected to be a function or matrix"]); |
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107 endif |
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108 |
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109 if (nargin < 6 || isempty (M2)) |
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110 M2m1x = @(x) x; |
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111 elseif (ischar (M2)) |
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112 M2m1x = str2func (M2); |
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113 elseif (ismatrix (M2)) |
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114 M2m1x = @(x) M2 \ x; |
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115 elseif (isa (M2, "function_handle")) |
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116 M2m1x = @(x) feval (M2, x); |
8416 | 117 else |
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118 error (["bicgstab: preconditioner is "... |
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119 "expected to be a function or matrix"]); |
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120 endif |
8416 | 121 |
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122 precon = @(x) M2m1x (M1m1x (x)); |
8416 | 123 |
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124 if (nargin < 7 || isempty (x0)) |
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125 x0 = zeros (size (b)); |
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126 endif |
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127 |
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128 ## specifies initial estimate x0 |
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129 if (nargin < 7) |
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130 x = zeros (rows (b), 1); |
8416 | 131 else |
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132 x = x0; |
8416 | 133 endif |
134 | |
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135 norm_b = norm (b); |
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136 |
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137 res = b - Ax (x); |
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138 rr = res; |
8416 | 139 |
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140 ## Vector of the residual norms for each iteration. |
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141 resvec = norm (res) / norm_b; |
8416 | 142 |
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143 ## Default behaviour we don't reach tolerance tol within maxit iterations. |
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144 flag = 1; |
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145 |
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146 for iter = 1:maxit |
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147 rho_1 = res' * rr; |
8416 | 148 |
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149 if (iter == 1) |
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150 p = res; |
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151 else |
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152 beta = (rho_1 / rho_2) * (alpha / omega); |
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153 p = res + beta * (p - omega * v); |
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154 endif |
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155 |
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156 phat = precon (p); |
8416 | 157 |
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158 v = Ax (phat); |
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159 alpha = rho_1 / (rr' * v); |
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160 s = res - alpha * v; |
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161 |
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162 shat = precon (s); |
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163 |
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164 t = Ax (shat); |
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165 omega = (t' * s) / (t' * t); |
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166 x = x + alpha * phat + omega * shat; |
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167 res = s - omega * t; |
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168 rho_2 = rho_1; |
8416 | 169 |
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170 relres = norm (res) / norm_b; |
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171 resvec = [resvec; relres]; |
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172 |
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173 if (relres <= tol) |
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174 ## We reach tolerance tol within maxit iterations. |
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175 flag = 0; |
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176 break; |
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177 elseif (resvec(end) == resvec(end - 1)) |
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178 ## The method stagnates. |
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179 flag = 3; |
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180 break; |
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181 endif |
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182 endfor |
8416 | 183 |
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184 if (nargout < 2) |
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185 if (flag == 0) |
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186 printf ("bicgstab converged at iteration %i ", iter); |
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187 printf ("to a solution with relative residual %e\n", relres); |
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188 elseif (flag == 3) |
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189 printf ("bicgstab stopped at iteration %i ", iter); |
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190 printf ("without converging to the desired tolerance %e\n", tol); |
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191 printf ("because the method stagnated.\n"); |
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192 printf ("The iterate returned (number %i) ", iter); |
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193 printf ("has relative residual %e\n", relres); |
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194 else |
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195 printf ("bicgstab stopped at iteration %i ", iter); |
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196 printf ("without converging to the desired toleranc %e\n", tol); |
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197 printf ("because the maximum number of iterations was reached.\n"); |
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198 printf ("The iterate returned (number %i) ", iter); |
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199 printf ("has relative residual %e\n", relres); |
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200 endif |
9278 | 201 endif |
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202 |
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203 else |
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204 print_usage (); |
9278 | 205 endif |
206 | |
8416 | 207 endfunction |
208 | |
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209 |
8416 | 210 %!demo |
211 %! % Solve system of A*x=b | |
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212 %! A = [5 -1 3;-1 2 -2;3 -2 3]; |
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213 %! b = [7;-1;4]; |
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214 %! [x, flag, relres, iter, resvec] = bicgstab (A, b) |
8416 | 215 |
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216 %!shared A, b, n, M1, M2 |
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217 %! |
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218 %!test |
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219 %! n = 100; |
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220 %! A = spdiags ([-2*ones(n,1) 4*ones(n,1) -ones(n,1)], -1:1, n, n); |
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221 %! b = sum (A, 2); |
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222 %! tol = 1e-8; |
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223 %! maxit = 15; |
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224 %! M1 = spdiags ([ones(n,1)/(-2) ones(n,1)],-1:0, n, n); |
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225 %! M2 = spdiags ([4*ones(n,1) -ones(n,1)], 0:1, n, n); |
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226 %! [x, flag, relres, iter, resvec] = bicgstab (A, b, tol, maxit, M1, M2); |
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227 %! assert (x, ones (size (b)), 1e-7); |
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228 %! |
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229 %!test |
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230 %!function y = afun (x, a) |
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231 %! y = a * x; |
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232 %!endfunction |
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233 %! |
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234 %! tol = 1e-8; |
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235 %! maxit = 15; |
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236 %! |
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237 %! [x, flag, relres, iter, resvec] = bicgstab (@(x) afun (x, A), b, |
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238 %! tol, maxit, M1, M2); |
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239 %! assert (x, ones (size (b)), 1e-7); |
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240 |
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241 %!test |
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242 %! n = 100; |
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243 %! tol = 1e-8; |
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244 %! a = sprand (n, n, .1); |
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245 %! A = a'*a + 100 * eye (n); |
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246 %! b = sum (A, 2); |
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247 %! [x, flag, relres, iter, resvec] = bicgstab (A, b, tol, [], diag (diag (A))); |
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248 %! assert (x, ones (size (b)), 1e-7); |
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249 |