Engee documentation

LSQR

Usage

lsqr(A, b; kwrags...) -> x, [history]

Same as lsqr!, but allocates a solution vector x initialized with zeros.

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

Minimizes 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 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.

Implementation details

Adapted from: http://web.stanford.edu/group/SOL/software/lsqr/.