On Convergence of the Inexact Rayleigh Quotient Iteration with MINRES

Details On Convergence of the Inexact Rayleigh Quotient Iteration with MINRES On Convergence of the Inexact Rayleigh Quotient Iteration with MINRES

2009-06-12

arxiv.org/abs/0906.2238v3

Mathematics

Numerical Analysis

27 pages, 4 figures

Scientific paper

For the Hermitian inexact Rayleigh quotient iteration (RQI), we present a new general theory, independent of iterative solvers for shifted inner linear systems. The theory shows that the method converges at least quadratically under a new condition, called the uniform positiveness condition, that may allow inner tolerance $\xi_k\geq 1$ at outer iteration $k$ and can be considerably weaker than the condition $\xi_k\leq\xi<1$ with $\xi$ a constant not near one commonly used in literature. We consider the convergence of the inexact RQI with the unpreconditioned and tuned preconditioned MINRES method for the linear systems. Some attractive properties are derived for the residuals obtained by MINRES. Based on them and the new general theory, we make a more refined analysis and establish a number of new convergence results. Let $\|r_k\|$ be the residual norm of approximating eigenpair at outer iteration $k$. Then all the available cubic and quadratic convergence results require $\xi_k=O(\|r_k\|)$ and $\xi_k\leq\xi$ with a fixed $\xi$ not near one, respectively. Fundamentally different from these, we prove that the inexact RQI with MINRES generally converges cubically, quadratically and linearly provided that $\xi_k\leq\xi$ with a constant $\xi<1$ not near one, $\xi_k=1-O(\|r_k\|)$ and $\xi_k=1-O(\|r_k\|^2)$, respectively. Therefore, the new convergence conditions are much more relaxed than ever before. The theory can be used to design practical stopping criteria to implement the method more effectively. Numerical experiments confirm our results.

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