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Symmetric saddle-point system, Schur complement, and block preconditioners

Definition

Let n,m≥1, V=Mn×1(R), and Q=Mm×1(R). Let A∈Mn(R) be symmetric positive definite, let B∈Mm×n(R) have full row rank (meaning BTq=0 implies q=0), and let MQ∈Mm(R) be symmetric positive definite. The saddle system and its matrix are K=(ABTB0),Au+BTp=f,Bu=g. Define the positive pressure Schur matrix S:=BA−1BT. In the block-LU convention of Block LU factorisation and the associated Schur complement, the trailing Schur complement of A in K is −S. The exact block solve first solves Au0=f, then Sp=Bu0−g, and finally Au=f−BTp; the theorem Exact Schur solve for a full-row-rank symmetric saddle system ↗ verifies this procedure and well-definedness.

For a scaling γ>0, the pressure-mass block-diagonal preconditioner is Pγ=diag⁡(A,γMQ). It is symmetric positive definite. If Pγ=CCT is its Cholesky factorization with C lower triangular and positive on the diagonal, the symmetric preconditioned system is C−1KC−Ty=C−1r, with the usual change of unknown. This is the symmetric-preconditioning convention of Left preconditioning, right preconditioning, and symmetric preconditioning of a linear system. No spectral bound, Krylov iteration count, complexity estimate, or generic speed improvement is part of this definition.

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