New Krylov-subspace method for symmetric indefinite linear systems

摘要

Many important applications involve the solution of large linear systems with symmetric, but indefinite coefficient matrices. For example, such systems arise in incompressible flow computations and as subproblems in optimization algorithms for linear and nonlinear programs. Existing Krylov-subspace iterations for symmetric indefinite systems, such as SYMMLQ and MINRES, require the use of symmetric positive definite preconditioners, which is a rather unnatural restriction when the matrix itself is highly indefinite with both many positive and many negative eigenvalues. In this note, the authors describe a new Krylov-subspace iteration for solving symmetric indefinite linear systems that can be combined with arbitrary symmetric preconditioners. The algorithm can be interpreted as a special case of the quasi-minimal residual method for general non-Hermitian linear systems, and like the latter, it produces iterates defined by a quasi-minimal residual property. The proposed method has the same work and storage requirements per iteration as SYMMLQ or MINRES, however, it usually converges in considerably fewer iterations. Results of numerical experiments are reported.