LSQR

Usage

IterativeSolvers.lsqr!Function
lsqr!(x, A, b; kwargs...) -> x, [history]

Minimizes $\|Ax - b\|^2 + \|damp*x\|^2$ in the Euclidean norm. If multiple solutions exists returns the minimal norm solution.

The method is based on the Golub-Kahan bidiagonalization process. It is algebraically equivalent to applying CG to the normal equations $(A^*A + λ^2I)x = A^*b$ but has better numerical properties, especially if A is ill-conditioned.

Arguments

• x: Initial guess, will be updated in-place;
• A: linear operator;
• b: right-hand side.

Keywords

• damp::Number = 0: damping parameter.
• atol::Number = 1e-6, btol::Number = 1e-6: stopping tolerances. If both are 1.0e-9 (say), the final residual norm should be accurate to about 9 digits. (The final x will usually have fewer correct digits, depending on cond(A) and the size of damp).
• conlim::Number = 1e8: stopping tolerance. lsmr terminates if an estimate of cond(A) exceeds conlim. For compatible systems Ax = b, conlim could be as large as 1.0e+12 (say). For least-squares problems, conlim should be less than 1.0e+8. Maximum precision can be obtained by setting atol = btol = conlim = zero, but the number of iterations may then be excessive.
• maxiter::Int = maximum(size(A)): maximum number of iterations.
• verbose::Bool = false: print method information.
• log::Bool = false: output an extra element of type ConvergenceHistory containing extra information of the method execution.

Return values

if log is false

• x: approximated solution.

if log is true

• x: approximated solution.
• ch: convergence history.

ConvergenceHistory keys

• :atol => ::Real: atol stopping tolerance.
• :btol => ::Real: btol stopping tolerance.
• :ctol => ::Real: ctol stopping tolerance.
• :anorm => ::Real: anorm.
• :rnorm => ::Real: rnorm.
• :cnorm => ::Real: cnorm.
• :resnom => ::Vector: residual norm at each iteration.
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