Preconditioning and iterative solution of all-at-once systems for evolutionary partial differential equations

Eleanor McDonald, Jennifer Pestana, Andy Wathen

Research output: Contribution to journalArticlepeer-review

23 Citations (Scopus)
23 Downloads (Pure)

Abstract

Standard Krylov subspace solvers for self-adjoint problems have rigorous convergence bounds based solely on eigenvalues. However, for non-self-adjoint problems, eigenvalues do not determine behavior even for widely used iterative methods. In this paper, we discuss time-dependent PDE problems, which are always non-self-adjoint. We propose a block circulant preconditioner for the all-at-once evolutionary PDE system which has block Toeplitz structure. Through reordering of variables to obtain a symmetric system, we are able to rigorously establish convergence bounds for MINRES which guarantee a number of iterations independent of the number of time-steps for the all-at-once system. If the spatial differential operators are simultaneously diagonalizable, we are able to quickly apply the preconditioner through use of a sine transform, and for those that are not, we are able to use an algebraic multigrid process to provide a good approximation. Results are presented for solution to both the heat and convection diffusion equations.
Original languageEnglish
Pages (from-to)A1012–A1033
Number of pages22
JournalSIAM Journal on Scientific Computing
Volume40
Issue number2
Early online date3 Apr 2018
DOIs
Publication statusPublished - 30 Apr 2018

Keywords

  • evolutionary equations
  • Toeplitz matrix
  • circulant preconditioner
  • iterative methods
  • block matrices

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