IterativeSolvers.jl is a Julia package that provides efficient iterative algorithms for solving large linear systems, eigenproblems, and singular value problems. Most of the methods can be used matrix-free.
For bug reports, feature requests and questions please submit an issue. If you're interested in contributing, please see the Contributing guide.
For more information on future methods have a look at the package roadmap.
When solving linear systems $Ax = b$ for a square matrix $A$ there are quite some options. The typical choices are listed below:
|Method||When to use it|
|Conjugate Gradients||Best choice for symmetric, positive-definite matrices|
|MINRES||For symmetric, indefinite matrices|
|GMRES||For nonsymmetric matrices when a good preconditioner is available|
|IDR(s)||For nonsymmetric, strongly indefinite problems without a good preconditioner|
|BiCGStab(l)||Otherwise for nonsymmetric problems|
We also offer Chebyshev iteration as an alternative to Conjugate Gradients when bounds on the spectrum are known.
For the Singular Value Decomposition we offer SVDL, which is the Golub-Kahan-Lanczos procedure.
For eigenvalue problems we have at this point just the Power Method and some convenience wrappers to do shift-and-invert.