Efficient Implementation of Minimal Polynomial and Reduced Rank Extrapolation Methods

Abstract

The minimal polynomial extrapolation (MPE) and reduced rank extrapolation (RRE) are two effective techniques that have been used in accelerating the convergence of vector sequences, such as those that are obtained from iterative solution of linear and nonlinear systems of equation. Their definitions involve some linear least squares problems, and this causes difficulties in their numerical implementation. Timewise efficient and numerically stable implementations for MPE and RRE are developed. A computer program written in FORTRAN 77 is also appended and applied to some model problems.