Pavel Jiranek : July 31, 2008

On the numerical behavior of Simpler GMRES and GCR.

Abstract

We analyze the numerical behavior of several minimum residual methods, which are mathematically equivalent to the GMRES method. Two main approaches are compared: the one that computes the approximate solution in terms of a Krylov space basis from an upper triangular linear system for the coordinates, and the one where the approximate solutions are updated with a simple recursion formula. We show that a different choice of the basis can significantly influence the numerical behavior of the resulting implementation. While Simpler GMRES and ORTHODIR are less stable due to the ill-conditioning of the basis used, the residual basis is well-conditioned as long as we have a reasonable residual norm decrease. These results lead to a new implementation, which is conditionally backward stable, and, in a sense they explain the experimentally observed fact that the GCR (or full ORTHOMIN) method delivers very accurate approximate solutions when it converges fast enough without stagnation.