Mercurial > octave
annotate scripts/sparse/qmr.m @ 21178:3be6a07e8bad
maint: Periodic merge of stable to default.
author | John W. Eaton <jwe@octave.org> |
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date | Tue, 02 Feb 2016 17:06:11 -0500 |
parents | 66a08c3cafe3 2935d56203a4 |
children | dcf8922b724b |
rev | line source |
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1 ## Copyright (C) 2014-2015 Nathan Podlich |
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2 ## |
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3 ## This file is part of Octave. |
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4 ## |
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5 ## Octave is free software; you can redistribute it and/or modify |
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6 ## it under the terms of the GNU General Public License as published by |
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7 ## the Free Software Foundation; either version 3 of the License, or |
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8 ## (at your option) any later version. |
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9 ## |
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10 ## Octave is distributed in the hope that it will be useful, |
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11 ## but WITHOUT ANY WARRANTY; without even the implied warranty of |
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the |
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13 ## GNU General Public License for more details. |
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14 ## |
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15 ## You should have received a copy of the GNU General Public License |
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16 ## along with Octave; If not, see <http://www.gnu.org/licenses/>. |
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17 |
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18 ## -*- texinfo -*- |
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19 ## @deftypefn {} {@var{x} =} qmr (@var{A}, @var{b}, @var{rtol}, @var{maxit}, @var{M1}, @var{M2}, @var{x0}) |
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20 ## @deftypefnx {} {@var{x} =} qmr (@var{A}, @var{b}, @var{rtol}, @var{maxit}, @var{P}) |
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21 ## @deftypefnx {} {[@var{x}, @var{flag}, @var{relres}, @var{iter}, @var{resvec}] =} qmr (@var{A}, @var{b}, @dots{}) |
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22 ## Solve @code{A x = b} using the Quasi-Minimal Residual iterative method |
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23 ## (without look-ahead). |
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24 ## |
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25 ## @itemize @minus |
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26 ## @item @var{rtol} is the relative tolerance, if not given or set to [] the |
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27 ## default value 1e-6 is used. |
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28 ## |
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29 ## @item @var{maxit} the maximum number of outer iterations, if not given or |
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30 ## set to [] the default value @code{min (20, numel (b))} is used. |
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31 ## |
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32 ## @item @var{x0} the initial guess, if not given or set to [] the default |
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33 ## value @code{zeros (size (b))} is used. |
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34 ## @end itemize |
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35 ## |
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36 ## @var{A} can be passed as a matrix or as a function handle or inline |
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37 ## function @code{f} such that @code{f(x, "notransp") = A*x} and |
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38 ## @code{f(x, "transp") = A'*x}. |
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39 ## |
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40 ## The preconditioner @var{P} is given as @code{P = M1 * M2}. Both @var{M1} |
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41 ## and @var{M2} can be passed as a matrix or as a function handle or inline |
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42 ## function @code{g} such that @code{g(x, "notransp") = M1 \ x} or |
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43 ## @code{g(x, "notransp") = M2 \ x} and @code{g(x, "transp") = M1' \ x} or |
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44 ## @code{g(x, "transp") = M2' \ x}. |
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45 ## |
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46 ## If called with more than one output parameter |
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47 ## |
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48 ## @itemize @minus |
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49 ## @item @var{flag} indicates the exit status: |
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50 ## |
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51 ## @itemize @minus |
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52 ## @item 0: iteration converged to the within the chosen tolerance |
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53 ## |
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54 ## @item 1: the maximum number of iterations was reached before convergence |
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55 ## |
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56 ## @item 3: the algorithm reached stagnation |
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57 ## @end itemize |
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58 ## |
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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 residual norms at each |
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66 ## iteration. |
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67 ## @end itemize |
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68 ## |
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69 ## References: |
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70 ## |
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71 ## @enumerate |
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72 ## @item |
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73 ## @nospell{R. Freund and N. Nachtigal}, @cite{QMR: a quasi-minimal residual |
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74 ## method for non-Hermitian linear systems}, @nospell{Numerische Mathematik}, |
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75 ## 1991, 60, pp. 315-339. |
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76 ## |
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77 ## @item |
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78 ## @nospell{ R. Barrett, M. Berry, T. Chan, J. Demmel, J. Donato, J. Dongarra}, |
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79 ## @nospell{ V. Eijkhour, R. Pozo, C. Romine, and H. van der Vorst}, |
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80 ## @cite{Templates for the solution of linear systems: Building blocks |
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81 ## for iterative methods}, SIAM, 2nd ed., 1994. |
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82 ## @end enumerate |
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83 ## |
19854 | 84 ## @seealso{bicg, bicgstab, cgs, gmres, pcg} |
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85 ## @end deftypefn |
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86 |
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87 ## Author: Nathan Podlich <nathan.podlich@gmail.com> |
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88 |
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89 function [x, flag, relres, iter, resvec] = qmr (A, b, tol, maxit, M1, M2, x0) |
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90 |
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91 if (nargin >= 2 && isvector (full (b))) |
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92 |
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93 if (ischar (A)) |
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94 fun = str2func (A); |
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95 Ax = @(x) feval (fun, x, "notransp"); |
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96 Atx = @(x) feval (fun, x, "transp"); |
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97 elseif (isa (A, "function_handle")) |
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98 Ax = @(x) feval (A, x, "notransp"); |
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99 Atx = @(x) feval (A, x, "transp"); |
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100 elseif (isnumeric (A) && issquare (A)) |
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101 Ax = @(x) A * x; |
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102 Atx = @(x) A' * x; |
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103 else |
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104 error ("qmr: A must be a square matrix or function"); |
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105 endif |
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106 |
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107 if (nargin < 3 || isempty (tol)) |
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108 tol = 1e-6; |
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109 endif |
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110 |
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111 if (nargin < 4 || isempty (maxit)) |
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112 maxit = min (rows (b), 20); |
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113 else |
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114 maxit = fix (maxit); |
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115 endif |
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116 |
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117 if (nargin < 5 || isempty (M1)) |
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118 M1m1x = @(x, ignore) x; |
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119 M1tm1x = M1m1x; |
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120 elseif (ischar (M1)) |
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121 fun = str2func (M1); |
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122 M1m1x = @(x) feval (fun, x, "notransp"); |
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123 M1tm1x = @(x) feval (fun, x, "transp"); |
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124 elseif (isa (M1, "function_handle")) |
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125 M1m1x = @(x) feval (M1, x, "notransp"); |
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126 M1tm1x = @(x) feval (M1, x, "transp"); |
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Fix Matlab incompatibility of "ismatrix" (bug #42422).
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|
127 elseif (isnumeric (M1) && ismatrix (M1)) |
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128 M1m1x = @(x) M1 \ x; |
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129 M1tm1x = @(x) M1' \ x; |
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130 else |
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|
131 error ("qmr: preconditioner M1 must be a function or matrix"); |
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132 endif |
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133 |
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134 if (nargin < 6 || isempty (M2)) |
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135 M2m1x = @(x, ignore) x; |
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136 M2tm1x = M2m1x; |
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137 elseif (ischar (M2)) |
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138 fun = str2func (M2); |
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139 M2m1x = @(x) feval (fun, x, "notransp"); |
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140 M2tm1x = @(x) feval (fun, x, "transp"); |
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141 elseif (isa (M2, "function_handle")) |
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142 M2m1x = @(x) feval (M2, x, "notransp"); |
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143 M2tm1x = @(x) feval (M2, x, "transp"); |
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Fix Matlab incompatibility of "ismatrix" (bug #42422).
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|
144 elseif (isnumeric (M2) && ismatrix (M2)) |
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145 M2m1x = @(x) M2 \ x; |
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146 M2tm1x = @(x) M2' \ x; |
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147 else |
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148 error ("qmr: preconditioner M2 must be a function or matrix"); |
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149 endif |
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150 |
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|
151 if (nargin < 7 || isempty (x0)) |
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152 x = zeros (size (b)); |
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153 else |
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154 x = x0; |
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|
155 endif |
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156 |
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157 r = b - Ax (x); |
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158 |
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159 bnorm = norm (b); |
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|
160 res0 = norm (r); |
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|
161 if (nargout > 4) |
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162 resvec(1) = res0; |
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|
163 endif |
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164 vt = r; |
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|
165 |
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166 y = M1m1x (vt); |
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|
167 |
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168 rho0 = norm (y); |
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169 wt = r; |
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170 |
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171 z = M2tm1x (wt); |
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172 |
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173 xi1 = norm (z); |
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174 gamma0 = 1; |
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|
175 eta0 = -1; |
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176 flag = 1; |
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|
177 for iter=1:1:maxit |
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178 ## If rho0 == 0 or xi1 == 0, method fails. |
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179 v = vt / rho0; |
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180 y /= rho0; |
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181 w = wt / xi1; |
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20164
diff
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|
182 z /= xi1; |
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183 |
19833
9fc020886ae9
maint: Clean up m-files to follow Octave coding conventions.
Rik <rik@octave.org>
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19725
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184 delta1 = z' * y; # If delta1 == 0, method fails. |
19354
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185 |
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186 yt = M2m1x (y); |
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187 zt = M1tm1x (z); |
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|
188 |
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|
189 if (iter == 1) |
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|
190 p = yt; |
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|
191 q = zt; |
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|
192 else |
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|
193 p = yt - (xi1*delta1/eps0) * p; |
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194 q = zt - (rho0*delta1/eps0) * q; |
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|
195 endif |
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196 pt = Ax (p); |
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|
197 |
19833
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19725
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|
198 eps0 = q' * pt; # If eps0 == 0, method fails. |
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199 beta1 = eps0 / delta1; # If beta1 == 0, method fails. |
19354
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200 vt = pt - beta1 * v; |
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|
201 |
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|
202 y = M1m1x (vt); |
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parents:
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|
203 rho1 = norm(y); |
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|
204 wt = Atx (q) - beta1 * w; |
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|
205 z = M2tm1x (wt); |
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|
206 |
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|
207 xi1 = norm(z); |
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|
208 theta1 = rho1 / (gamma0 * abs(beta1)); |
19833
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19725
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|
209 gamma1 = 1 / sqrt(1 + theta1^2); # If gamma1 == 0, method fails. |
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|
210 eta1 = -eta0 * rho0 * gamma1^2 / (beta1 * gamma0^2); |
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|
211 |
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|
212 if (iter == 1) |
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|
213 d = eta1 * p; |
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parents:
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|
214 s = eta1 * pt; |
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|
215 else |
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|
216 d = eta1 * p + (theta0*gamma1)^2 * d; |
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217 s = eta1 * pt + (theta0 * gamma1)^2 * s; |
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|
218 endif |
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|
219 x += d; |
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|
220 r -= s; |
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|
221 |
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222 res1 = norm (r) / bnorm; |
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|
223 if (nargout > 4) |
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|
224 resvec(iter + 1, 1) = norm (r); |
21031
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20852
diff
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|
225 endif |
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|
226 |
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|
227 if (res1 < tol) |
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|
228 ## Convergence achieved. |
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229 flag = 0; |
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|
230 break; |
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|
231 elseif (res0 <= res1) |
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|
232 ## Stagnation encountered. |
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|
233 flag = 3; |
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|
234 break; |
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|
235 endif |
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parents:
diff
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|
236 theta0 = theta1; |
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|
237 eta0 = eta1; |
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Nathan Podlich <nathan.podlich@gmail.com>
parents:
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|
238 gamma0 = gamma1; |
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parents:
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|
239 rho0 = rho1; |
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|
240 endfor |
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|
241 |
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|
242 relres = res1; |
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parents:
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|
243 if (flag == 1) |
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Nathan Podlich <nathan.podlich@gmail.com>
parents:
diff
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|
244 if (nargout < 2) |
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parents:
diff
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|
245 printf ("qmr stopped at iteration %i ", iter); |
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|
246 printf ("without converging to the desired tolerance %e\n", tol); |
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|
247 printf ("because the maximum number of iterations was reached. "); |
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parents:
diff
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248 printf ("The iterate returned (number %i) has ", maxit); |
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249 printf ("relative residual %e\n", res1); |
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250 endif |
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251 elseif (flag == 3) |
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252 if (nargout < 2) |
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253 printf ("qmr stopped at iteration %i ", iter); |
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254 printf (" without converging to the desired tolerance %e\n", tol); |
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255 printf ("because the method stagnated.\n"); |
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256 printf ("The iterate returned (number %i) ", iter); |
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257 printf ("has relative residual %e\n", res1); |
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258 endif |
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259 elseif (nargout < 2) |
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260 printf ("qmr converged at iteration %i ", iter); |
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261 printf ("to a solution with relative residual %e\n", res1); |
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262 endif |
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263 else |
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264 print usage(); |
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265 endif |
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266 endfunction |
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267 |
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268 |
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269 %!demo |
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270 %! % Solve system of A*x=b |
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271 %! A = [5 -1 3;-1 2 -2;3 -2 3]; |
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272 %! b = [7;-1;4]; |
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273 %! [x, flag, relres, iter, resvec] = qmr (A, b) |
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274 |
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275 %!test |
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276 %! n = 100; |
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277 %! A = spdiags ([-2*ones(n,1) 4*ones(n,1) -ones(n,1)], -1:1, n, n); |
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278 %! b = sum (A, 2); |
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279 %! tol = 1e-8; |
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280 %! maxit = 15; |
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281 %! M1 = spdiags ([ones(n,1)/(-2) ones(n,1)],-1:0, n, n); |
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282 %! M2 = spdiags ([4*ones(n,1) -ones(n,1)], 0:1, n, n); |
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283 %! [x, flag, relres, iter, resvec] = qmr (A, b, tol, maxit, M1, M2); |
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284 %! assert (x, ones (size (b)), 1e-7); |
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285 |
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286 %!function y = afun (x, t, a) |
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287 %! switch (t) |
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288 %! case "notransp" |
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289 %! y = a * x; |
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290 %! case "transp" |
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291 %! y = a' * x; |
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292 %! endswitch |
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293 %!endfunction |
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294 %! |
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295 %!test |
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296 %! n = 100; |
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297 %! A = spdiags ([-2*ones(n,1) 4*ones(n,1) -ones(n,1)], -1:1, n, n); |
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298 %! b = sum (A, 2); |
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299 %! tol = 1e-8; |
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300 %! maxit = 15; |
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301 %! M1 = spdiags ([ones(n,1)/(-2) ones(n,1)],-1:0, n, n); |
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302 %! M2 = spdiags ([4*ones(n,1) -ones(n,1)], 0:1, n, n); |
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303 %! |
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304 %! [x, flag, relres, iter, resvec] = qmr (@(x, t) afun (x, t, A), |
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305 %! b, tol, maxit, M1, M2); |
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306 %! assert (x, ones (size (b)), 1e-7); |
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307 |
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308 %!test |
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309 %! n = 100; |
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310 %! tol = 1e-8; |
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311 %! a = sprand (n, n, .1); |
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312 %! A = a' * a + 100 * eye (n); |
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313 %! b = sum (A, 2); |
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314 %! [x, flag, relres, iter, resvec] = qmr (A, b, tol, [], diag (diag (A))); |
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315 %! assert (x, ones (size (b)), 1e-7); |
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316 |
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317 %!test |
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318 %! A = [1 + 1i, 1 + 1i; 2 - 1i, 2 + 1i]; |
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319 %! b = A * [1; 1]; |
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320 %! [x, flag, relres, iter, resvec] = qmr (A, b); |
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321 %! assert (x, [1; 1], 1e-6); |