Residual and backward error bounds in minimum residual Krylov subspace methods

摘要

Minimum residual norm iterative methods for solving linear systems Ax = b can be viewed as, and are often implemented as, sequences of least squares problems involving Krylov subspaces of increasing dimensions. The minimum residual method (MINRES) [ C. Paige and M. Saunders, SIAM J. Numer. Anal., 12 (1975), pp. 617-629] and generalized minimum residual method (GMRES) [Y. Saad and M. Schultz, SIAM J. Sci. Statist. Comput., 7 (1986), pp. 856-869] represent typical examples. In [C. Paige and Z. Strakos, Bounds for the least squares distance using scaled total least squares, Numer. Math., to appear] revealing upper and lower bounds on the residual norm of any linear least squares (LS) problem were derived in terms of the total least squares (TLS) correction of the corresponding scaled TLS problem. In this paper theoretical results of [C. Paige and Z. Strakos, Bounds for the least squares distance using scaled total least squares, Numer. Math., to appear] are extended to the GMRES context. The bounds that are developed are important in theory, but they also have fundamental practical implications for the finite precision behavior of the modified Gram Schmidt implementation of GMRES, and perhaps for other minimum norm methods. [References: 32]