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* WIP on BiCGStabl(l) * Remove unused residual vector * Export Identity * Add the BiCGStab(l) test * Use the convex combination idea * Switch between convex update and standard behaviour * Fix for complex numbers & fix ordinary bicgstab(l) * More testing & benching * Translate to iterators & remove convex combination for now * Compatibility with 0.5, and recover the old API with ConvergenceHistry stuff
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export bicgstabl, bicgstabl!, bicgstabl_iterator, bicgstabl_iterator!, BiCGStabIterable | ||
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import Base: start, next, done | ||
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type BiCGStabIterable{precT, matT, vecT <: AbstractVector, smallMatT <: AbstractMatrix, realT <: Real, scalarT <: Number} | ||
A::matT | ||
b::vecT | ||
l::Int | ||
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x::vecT | ||
r_shadow::vecT | ||
rs::smallMatT | ||
us::smallMatT | ||
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max_mv_products::Int | ||
mv_products::Int | ||
reltol::realT | ||
residual::realT | ||
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Pl::precT | ||
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γ::vecT | ||
ω::scalarT | ||
σ::scalarT | ||
M::smallMatT | ||
end | ||
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bicgstabl_iterator(A, b, l; kwargs...) = bicgstabl_iterator!(zerox(A, b), A, b, l; initial_zero = true, kwargs...) | ||
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function bicgstabl_iterator!(x, A, b, l::Int = 2; | ||
Pl = Identity(), | ||
max_mv_products = min(30, size(A, 1)), | ||
initial_zero = false, | ||
tol = sqrt(eps(real(eltype(b)))) | ||
) | ||
T = eltype(b) | ||
n = size(A, 1) | ||
mv_products = 0 | ||
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# Large vectors. | ||
r_shadow = rand(T, n) | ||
rs = Matrix{T}(n, l + 1) | ||
us = zeros(T, n, l + 1) | ||
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residual = view(rs, :, 1) | ||
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# Compute the initial residual rs[:, 1] = b - A * x | ||
# Avoid computing A * 0. | ||
if initial_zero | ||
copy!(residual, b) | ||
else | ||
A_mul_B!(residual, A, x) | ||
@blas! residual -= one(T) * b | ||
@blas! residual *= -one(T) | ||
mv_products += 1 | ||
end | ||
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# Apply the left preconditioner | ||
A_ldiv_B!(Pl, residual) | ||
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γ = zeros(T, l) | ||
ω = σ = one(T) | ||
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nrm = norm(residual) | ||
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# For the least-squares problem | ||
M = zeros(T, l + 1, l + 1) | ||
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# Stopping condition based on relative tolerance. | ||
reltol = nrm * tol | ||
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BiCGStabIterable(A, b, l, x, r_shadow, rs, us, | ||
max_mv_products, mv_products, reltol, nrm, | ||
Pl, | ||
γ, ω, σ, M | ||
) | ||
end | ||
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@inline converged(it::BiCGStabIterable) = it.residual ≤ it.reltol | ||
@inline start(::BiCGStabIterable) = 0 | ||
@inline done(it::BiCGStabIterable, iteration::Int) = it.mv_products ≥ it.max_mv_products || converged(it) | ||
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function next(it::BiCGStabIterable, iteration::Int) | ||
T = eltype(it.b) | ||
L = 2 : it.l + 1 | ||
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it.σ = -it.ω * it.σ | ||
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## BiCG part | ||
for j = 1 : it.l | ||
ρ = dot(it.r_shadow, view(it.rs, :, j)) | ||
β = ρ / it.σ | ||
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# us[:, 1 : j] .= rs[:, 1 : j] - β * us[:, 1 : j] | ||
for i = 1 : j | ||
@blas! view(it.us, :, i) *= -β | ||
@blas! view(it.us, :, i) += one(T) * view(it.rs, :, i) | ||
end | ||
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# us[:, j + 1] = Pl \ (A * us[:, j]) | ||
next_u = view(it.us, :, j + 1) | ||
A_mul_B!(next_u, it.A, view(it.us, :, j)) | ||
A_ldiv_B!(it.Pl, next_u) | ||
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it.σ = dot(it.r_shadow, next_u) | ||
α = ρ / it.σ | ||
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# rs[:, 1 : j] .= rs[:, 1 : j] - α * us[:, 2 : j + 1] | ||
for i = 1 : j | ||
@blas! view(it.rs, :, i) -= α * view(it.us, :, i + 1) | ||
end | ||
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# rs[:, j + 1] = Pl \ (A * rs[:, j]) | ||
next_r = view(it.rs, :, j + 1) | ||
A_mul_B!(next_r, it.A , view(it.rs, :, j)) | ||
A_ldiv_B!(it.Pl, next_r) | ||
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# x = x + α * us[:, 1] | ||
@blas! it.x += α * view(it.us, :, 1) | ||
end | ||
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# Bookkeeping | ||
it.mv_products += 2 * it.l | ||
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## MR part | ||
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# M = rs' * rs | ||
Ac_mul_B!(it.M, it.rs, it.rs) | ||
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# γ = M[L, L] \ M[L, 1] | ||
F = lufact!(view(it.M, L, L)) | ||
A_ldiv_B!(it.γ, F, view(it.M, L, 1)) | ||
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# This could even be BLAS 3 when combined. | ||
BLAS.gemv!('N', -one(T), view(it.us, :, L), it.γ, one(T), view(it.us, :, 1)) | ||
BLAS.gemv!('N', one(T), view(it.rs, :, 1 : it.l), it.γ, one(T), it.x) | ||
BLAS.gemv!('N', -one(T), view(it.rs, :, L), it.γ, one(T), view(it.rs, :, 1)) | ||
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it.ω = it.γ[it.l] | ||
it.residual = norm(view(it.rs, :, 1)) | ||
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it.residual, iteration + 1 | ||
end | ||
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# Classical API | ||
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bicgstabl(A, b, l = 2; kwargs...) = bicgstabl!(zerox(A, b), A, b, l; initial_zero = true, kwargs...) | ||
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function bicgstabl!(x, A, b, l = 2; | ||
tol = sqrt(eps(real(eltype(b)))), | ||
max_mv_products::Int = min(20, size(A, 1)), | ||
log::Bool = false, | ||
verbose::Bool = false, | ||
Pl = Identity(), | ||
kwargs... | ||
) | ||
history = ConvergenceHistory(partial = !log) | ||
history[:tol] = tol | ||
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# This doesn't yet make sense: the number of iters is smaller. | ||
log && reserve!(history, :resnorm, max_mv_products) | ||
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# Actually perform CG | ||
iterable = bicgstabl_iterator!(x, A, b, l; Pl = Pl, tol = tol, max_mv_products = max_mv_products, kwargs...) | ||
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if log | ||
history.mvps = iterable.mv_products | ||
end | ||
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for (iteration, item) = enumerate(iterable) | ||
if log | ||
nextiter!(history) | ||
history.mvps = iterable.mv_products | ||
push!(history, :resnorm, iterable.residual) | ||
end | ||
verbose && @printf("%3d\t%1.2e\n", iteration, iterable.residual) | ||
end | ||
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verbose && println() | ||
log && setconv(history, converged(iterable)) | ||
log && shrink!(history) | ||
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log ? (iterable.x, history) : iterable.x | ||
end | ||
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################# | ||
# Documentation # | ||
################# | ||
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let | ||
doc_call = "bicgstab(A, b, l)" | ||
doc!_call = "bicgstab!(x, A, b, l)" | ||
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doc_msg = "Solve A*x = b with the BiCGStab(l)" | ||
doc!_msg = "Overwrite `x`.\n\n" * doc_msg | ||
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doc_arg = "" | ||
doc!_arg = """`x`: initial guess, overwrite final estimation.""" | ||
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doc_version = (doc_call, doc_msg, doc_arg) | ||
doc!_version = (doc!_call, doc!_msg, doc!_arg) | ||
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docstring = String[] | ||
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#Build docs | ||
for (call, msg, arg) in (doc_version, doc!_version) #Start | ||
push!(docstring, | ||
""" | ||
$call | ||
$msg | ||
# Arguments | ||
$arg | ||
`A`: linear operator. | ||
`b`: right hand side (vector). | ||
`l::Int = 2`: Number of GMRES steps. | ||
## Keywords | ||
`Pl = Identity()`: left preconditioner of the method. | ||
`tol::Real = sqrt(eps(real(eltype(b))))`: tolerance for stopping condition | ||
`|r_k| / |r_0| ≤ tol`. Note that: | ||
1. The actual residual is never computed during the iterations; only an | ||
approximate residual is used. | ||
2. If a preconditioner is given, the stopping condition is based on the | ||
*preconditioned residual*. | ||
`max_mv_products::Int = min(30, size(A, 1))`: maximum number of matrix | ||
vector products. For BiCGStab this is a less dubious criterion than maximum | ||
number of iterations. | ||
# Output | ||
`x`: approximated solution. | ||
`residual`: last approximate residual norm | ||
# References | ||
[1] Sleijpen, Gerard LG, and Diederik R. Fokkema. "BiCGstab(l) for | ||
linear equations involving unsymmetric matrices with complex spectrum." | ||
Electronic Transactions on Numerical Analysis 1.11 (1993): 2000. | ||
""" | ||
) | ||
end | ||
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@doc docstring[1] -> bicgstabl | ||
@doc docstring[2] -> bicgstabl! | ||
end |
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f(x, y, z) = exp.(x .* y .* z) .* sin.(π .* x) .* sin.(π .* y) .* sin.(π .* z) | ||
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function advection_dominated(;N = 50, β = 1000.0) | ||
# Problem: Δu + βuₓ = f | ||
# u = 0 on the boundaries | ||
# f(x, y, z) = exp(xyz) sin(πx) sin(πy) sin(πz) | ||
# 2nd order central differences (shows serious wiggles) | ||
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# Total number of unknowns | ||
n = N^3 | ||
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# Mesh width | ||
h = 1.0 / (N + 1) | ||
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# Interior points only | ||
xs = linspace(0, 1, N + 2)[2 : N + 1] | ||
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# The Laplacian | ||
Δ = laplace_matrix(Float64, N, 3) ./ -h^2 | ||
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# And the dx bit. | ||
∂x_1d = spdiagm((fill(-β / 2h, N - 1), fill(β / 2h, N - 1)), (-1, 1)) | ||
∂x = kron(speye(N^2), ∂x_1d) | ||
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# Final matrix and rhs. | ||
A = Δ + ∂x | ||
b = reshape([f(x, y, z) for x ∈ xs, y ∈ xs, z ∈ xs], n) | ||
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A, b | ||
end | ||
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function laplace_matrix{T}(::Type{T}, n, dims) | ||
D = second_order_central_diff(T, n) | ||
A = copy(D) | ||
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for idx = 2 : dims | ||
A = kron(A, speye(n)) + kron(speye(size(A, 1)), D) | ||
end | ||
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A | ||
end | ||
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second_order_central_diff{T}(::Type{T}, dim) = convert( | ||
SparseMatrixCSC{T, Int}, | ||
SymTridiagonal(fill(2 * one(T), dim), fill(-one(T), dim - 1)) | ||
) |
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using IterativeSolvers | ||
using FactCheck | ||
using LinearMaps | ||
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srand(1234321) | ||
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include("advection_diffusion.jl") | ||
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facts("bicgstab(l)") do | ||
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for T in (Float32, Float64, Complex64, Complex128) | ||
context("Matrix{$T}") do | ||
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n = 20 | ||
A = rand(T, n, n) + 15 * eye(T, n) | ||
x = ones(T, n) | ||
b = A * x | ||
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for l = (2, 4) | ||
context("BiCGStab($l)") do | ||
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# Solve without preconditioner | ||
x1, his1 = bicgstabl(A, b, l, max_mv_products = 100, log = true) | ||
@fact norm(A * x1 - b) / norm(b) --> less_than(√eps(real(one(T)))) | ||
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# Do an exact LU decomp of a nearby matrix | ||
F = lufact(A + rand(T, n, n)) | ||
x2, his2 = bicgstabl(A, b, Pl = F, l, max_mv_products = 100, log = true) | ||
@fact norm(A * x2 - b) / norm(b) --> less_than(√eps(real(one(T)))) | ||
end | ||
end | ||
end | ||
end | ||
end |
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