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The two-stage Rosenbrock update reuses one shifted factorization for two solves
Statement
On every successful call of Two-stage second-order Rosenbrock W-method with shared factorization, the procedure forms one matrix , factorizes it once, and uses that stored factor object for exactly two stage right-hand sides, one for and one for . Thus it uses one shifted-matrix factorization and two triangular solves. This is an operation-count statement, not a claim that either solve succeeds.
Facts & Assumptions
Given: A successful execution of the two-stage method with a finite-dimensional shifted matrix.
Two-stage second-order Rosenbrock W-method with shared factorization: the procedure factors once, solves the first stage, then calls the same factor object's solve operation for .
Reusable Householder QR solve for a shifted matrix with residual status: one factor object stores a single QR factorization and each call to its solve operation applies that factorization and performs one triangular substitution.
Proof
Given: The successful execution in the Statement.
The first instruction of [F1] constructs and makes one factorization call, producing the factor object specified by [F2].
The algorithm calls that object's solve once for the right-hand side and once for the right-hand side; neither call constructs a new factor object. By [F2], each such call performs one triangular solve.
Counting the calls in step 1.1 and step 2.1 gives exactly one factorization and exactly two triangular solves on a successful execution, as asserted.
Depends on
Used by
Nothing in the library uses this result yet.
Dependency tree · two levels
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Sources
- Daniel Kressner, Advanced Numerical Analysis, §3.5 Rosenbrock methods (standard reference, not scraped)