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by S. L. Campbell, I. C. F. Ipsen, C. T. Kelley, C. D. Meyer
http://www4.ncsu.edu/eos/users/s/slc/www/PAPERS/GMRES4a.ps
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Abstract:
We present a qualitative model for the convergence behaviour of the Generalised Minimal Residual (GMRES) method for solving nonsingular systems of linear equations Ax = b in finite and infinite dimensional spaces. One application of our methods is the solution of discretised infinite dimensional problems, such as integral equations, where the constants in the asymptotic bounds are independent of the mesh size. Our model provides simple, general bounds that explain the convergence of GMRES as follows: If the eigenvalues of A consist of a single cluster plus outliers then the convergence factor is bounded by the cluster radius, while the asymptotic error constant reflects the non-normality of A and the distance of the outliers from the cluster. If the eigenvalues of A consist of several close clusters, then GMRES treats the clusters as a single big cluster, and the convergence factor is the radius of this big cluster. We exhibit matrices for which these bounds are tight. Our bounds also lead to a simpler proof of existing r-superlinear convergence results in Hilbert space.
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