Course information for current students:
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Course information sheet
Material to be covered in lectures:
The sections mentioned correspond to textbooks found in the reference list.
no name designation = Yousef Saad, Iterative Methods for Sparse Linear Systems HaYo = L. A. Hageman and D. M. Young, Applied Iterative Methods GoVL = Gene Golub and Charles Van Loan, Matrix computations Ortega2 = J. M. Ortega, Matrix theory: a second course VL = Charles Van Loan, Computational Frameworks for the Fast Fourier Transform Ortega = J. M. Ortega, Parallel and Vector Solution of Linear Systems Briggs = William L. Briggs, A multigrid tutorial, SIAM Hackb = W. Hackbusch, Iterative Solution of Large Sparse Systems of Equations
2022-01-14 2 hrs 1. Introduction 1.1 Scope of the course 1.2 Vectors and matrices [1.1-3, 1.6-7, 1.11, 1.13.1, HaYo 1.2, GoVL 2.1, 2.7] 1.3 Eigenvalues and eigenvectors [1.2, 1.8-9, 1.11, HaYo 1.3] 1.4 Norms and inner products [1.4-5, 1.13.2, HaYo 1.4, GoVL 2.2-3] Condition number of a matrix 2022-01-21 2 hrs 1.5 Block matrices -- Partitioned matrices [1.3, HaYo 1.5, GoVL 1.3, 4.5] 1.6 One-dimensional boundary value problems -- A model problem 1.7 Two-dimensional boundary value problems -- A model problem [2.1-2, HaYo 1.6-7] 1.8 Stencils [2.2] 1.9 Tensor products of matrices [GoVL 4.5, Ortega2 6.3, VL 1.1.10] 2022-01-28 2 hrs 1.10 Finding eigenvalues/vectors of tridiagonal matrices with constant coefficients along the diagonal 2. Direct methods for solving linear systems 2.1 Gauss elimination, LU factorisation [GoVL 3.2] 2.2 Back and forward substitutions, solution of a linear system [GoVL 3.1] 2.3 Symmetric matrices, LDL^T decomposition, Choleski decomposition [GoVL 3.2] 2.4 Banded matrices, banded storage, 5-pt-star matrix [GoVL 3.2] 2.5 Pivoting, row, column, complete, symmetric, banded matrices [GoVL 3.4] 2.6 A mathematical description of the GE/LU algorithm [GoVL 3.2.5, 3.4, Ortega2 pgs 19-22] - Elementary Gauss transformations, no pivoting 2022-02-04 2 hrs - Elementary permutation matrices, row pivoting, complete pivoting 2.7 Sparse matrices and storage schemes [3.4-6] Yale, profile, Purdue storage schemes 2.8 Adjacency graphs [3.2] 3. Iterative methods for solving linear systems 3.1 General 3.2 Jacobi, Gauss-Seidel, SOR and SSOR methods [4.1, HaYo 2.3, GoVL 10.1] 3.3 Block iterative methods [4.1.1] 3.4 Convergence of vectors and matrices 3.5 Convergence of iterative linear solvers [1.8.4, 4.2.1] 3.6 Rate of convergence of iterative methods [4.2.1, HaYo 2.2] 2022-02-11 2 hrs Three "definitions" of rate/order of convergence 3.7 Convergence of basic iterative methods on special matrices Comparison of Jacobi and GS Diagonally dominant matrices [4.2.3] SPD matrices [4.2.4] Spectral radius of SOR Consistently ordered matrices - Optimal w for SOR [4.2.5] [For the above topics, also see Young, Iter. Sol. of Large Lin. Sys.] 3.8 Preconditioning [4.1.2, 10.1-4, 10.6] Incomplete Factorisation preconditioning Block diagonal preconditioning SSOR preconditioning 3.9 Symmetrisable and extrapolated methods [HaYo 2.2] 2022-02-18 2 hrs 3.10 Polynomial acceleration of iterative methods [HaYo 3.1-2] 3.11 Comparison of various direct and iterative methods for the model 2D BVP and the 5-point-star matrix -- Computational issues [~ HaYo 2.4] A1 discussion FR Fourier solvers (VL 1.1, 4.4-5) Discrete Fourier Transform (DFT) Matrix Discrete Fourier Transform (DFT) Fast Fourier Transform (FFT) -- various transforms The standard FFT algorithm Solving one-dimensional BVPs using FFTs 2022-03-04 1.5 hrs midterm 2022-03-11 2 hrs midterm discussion (1 hr) Tensor product form of discrete two-dimensional BVPs Solving two-dimensional BVPs using tensor products and FFTs - Diagonalization of matrices in tensor product form 2D-FFT algorithm for two-dimensional BVPs 2022-03-18 2 hrs 4. Minimisation methods -- Conjugate gradient acceleration 4.1 Introduction Gradient, Hessian, Directional derivative Descent direction, steepest descent direction 4.2 The steepest descent method [5.3.1, HaYo 7.2, GoVL 10.2.1] Properties of SD prove: if the error at some iteration is an eigenvector of A, then CD converges in the next iteration prove: (r^(k+1), r^(k)) = 0 prove: ||e^(k+1)||_{A^{1/2}} <= alpha ||e^(k)||_{A^{1/2}} alpha = (kappa-1)/(kappa+1) 4.3 The family of Conjugate Direction (CD) methods [HaYo 7.2, GoVL 10.2.2-3] explain: how the stepsize lambda_k is chosen and why A-orthogonality helps prove: (d^(k), r^(0)) = (d^(k), r^(k)) The Gram-Schmidt orthogonalization method 2022-03-25 2 hrs A type of QR factorization 4.4 The Conjugate Gradient method [6.7, HaYo 7.2-4, GoVL 10.2.4,6,7] A case of CD method A three-term recurrence relation for CG The computationally efficient CG algorithm Properties of CG prove: (dk, rk+1) = 0, (dk, rk) = (rk, rk), (rj, rk) = 0, (dj, Adk) = 0 prove: the equivalence of the alternative defs for alphak and rk 4.5 The preconditioned CG (PCG) method [9.2, GoVL10.3.1, HaYo 7.4] 5. Iterative methods for general (including non-symmetric) systems 5.1 Introduction - Krylov subspace methods [6.1, 6.2, 6.3, 6.3.1] 5.2 Generalized Minimal Residual (GMRES) method 2022-04-01 2 hrs 5.2 Generalized Minimal Residual (GMRES) method (end) 5.3 Restarted Generalized Minimal Residual method (GMRES(m)) [6.5] 5.4 Convergence of GMRES [6.11.4] 5.5 Minimal Residual Method (MRES or MinRes) [5.3.2] 5.6 Full Orthogonalization Method (FOM) [6.4] 5.7 Conjugate Residual (CR) method [6.8] 5.8 Other methods (GCR, Orthomin, Orthodir) [6.9] 5.9 Bi-orthogonal bases and related methods (BiCG, QMR, CGS, BiCGStab, TFQMR) [7.1, 7.3, 7.4] 5.10 Methods related to the normal equations [8.1, 8.3] 2022-04-08 2 hrs MG The multigrid method [Briggs, Hackb 10.x] Motivation for the two-level method The multi-level method Multigrid preconditioning Extension and restriction operators for the 1D model BVP Convergence of MG on the 1D model BVP V-cycle and full multigrid Extension and restriction operators for the 2D model BVP Computational procedures and complexity
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Lecture notes