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For Hermitian A, including the indefinite case, MINRES minimizes the Euclidean residual over x0+Km(A,r0)

Statement

Let A be Hermitian, let x0 be an initial guess for Ax=b, let r0=bAx0, and let xm be an mth MINRES iterate from the Lanczos tridiagonal least-squares problem. Then

bAxm2=minxx0+Km(A,r0)bAx2.

This remains valid when A is Hermitian indefinite.

Facts & Assumptions

Given: A Hermitian matrix A, an initial guess x0, the residual r0=bAx0, and an mth MINRES iterate xm.

[F1]

A MINRES iterate has the form xm=x0+Qmym, where ym minimizes βe1Tˉmy2 for the Lanczos tridiagonalization (The MINRES iterate from the Lanczos tridiagonal least-squares problem).

[L1]

For Hermitian A, Arnoldi collapses to the Lanczos factorization with tridiagonal Tˉm (With a Hermitian matrix, Arnoldi collapses to the Lanczos three-term recurrence and a real symmetric tridiagonal projection).

[L2]

Arnoldi reduces GMRES to the small least-squares problem minyβe1Hˉmy2 (Arnoldi reduces GMRES to a least-squares problem for the small Hessenberg matrix).

[L3]

GMRES minimizes the Euclidean residual over x0+Km(A,r0) (GMRES minimizes the residual norm over the affine Krylov space x0+Km(A,r0)).

Proof

technique · direct
1.1

By [L1], the Hermitian Arnoldi factorization uses the same orthonormal Krylov basis Qm as Arnoldi but with Hˉm=Tˉm tridiagonal. Therefore the least-squares problem in [L2] is exactly the Lanczos least-squares problem recorded in [F1].

F1L1L2
2.1

Step 1.1 shows that the vector xm=x0+Qmym coming from [F1] is also the GMRES iterate at step m. Applying [L3] gives bAxm2=minxx0+Km(A,r0)bAx2. Neither step 1.1 nor [L3] uses positive definiteness, only Hermitian structure, so the same conclusion holds for Hermitian indefinite A.

F1L3step 1.1

Depends on

Used by

Dependency tree · two levels

9 results within two dependency steps of this one, each drawn at its shortest distance from it. An arrow runs from a result to what uses it, so the chart reads left to right and ends at this result, which carries a heavier outline. Every node is a link to that result. Click elsewhere on the chart to enlarge it.

Sources