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For Hermitian , including the indefinite case, MINRES minimizes the Euclidean residual over
Statement
Let be Hermitian, let be an initial guess for , let , and let be an th MINRES iterate from the Lanczos tridiagonal least-squares problem. Then
This remains valid when is Hermitian indefinite.
Facts & Assumptions
Given: A Hermitian matrix , an initial guess , the residual , and an th MINRES iterate .
A MINRES iterate has the form , where minimizes for the Lanczos tridiagonalization (The MINRES iterate from the Lanczos tridiagonal least-squares problem).
For Hermitian , Arnoldi collapses to the Lanczos factorization with tridiagonal (With a Hermitian matrix, Arnoldi collapses to the Lanczos three-term recurrence and a real symmetric tridiagonal projection).
Arnoldi reduces GMRES to the small least-squares problem (Arnoldi reduces GMRES to a least-squares problem for the small Hessenberg matrix).
GMRES minimizes the Euclidean residual over (GMRES minimizes the residual norm over the affine Krylov space ).
Proof
By [L1], the Hermitian Arnoldi factorization uses the same orthonormal Krylov basis as Arnoldi but with tridiagonal. Therefore the least-squares problem in [L2] is exactly the Lanczos least-squares problem recorded in [F1].
Step 1.1 shows that the vector coming from [F1] is also the GMRES iterate at step . Applying [L3] gives Neither step 1.1 nor [L3] uses positive definiteness, only Hermitian structure, so the same conclusion holds for Hermitian indefinite .
Depends on
- The MINRES iterate from the Lanczos tridiagonal least-squares problem
- With a Hermitian matrix, Arnoldi collapses to the Lanczos three-term recurrence and a real symmetric tridiagonal projection
- Arnoldi reduces GMRES to a least-squares problem for the small Hessenberg matrix
- GMRES minimizes the residual norm over the affine Krylov space $x_0+K_m(A,r_0)$
Used by
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Sources
- Richard Barrett et al., Templates for the Solution of Linear Systems: Building Blocks for Iterative Methods (standard reference, not scraped)