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Krylov subspace methods - Theory, algorithms, and applications

Projection methods based on Krylov subspaces for solving various types of scientific problems are reviewed. The main idea of this class of methods when applied to a linear system Ax = b, is to generate in some manner an approximate solution to the original problem from the so-called Krylov subspace span. Thus, the original problem of size N is approximated by one of dimension m, typically much smaller than N. Krylov subspace methods have been very successful in solving linear systems and eigenvalue problems and are now becoming popular for solving nonlinear equations. The main ideas in Krylov subspace methods are shown and their use in solving linear systems, eigenvalue problems, parabolic partial differential equations, Liapunov matrix equations, and nonlinear system of equations are discussed.

Sad, Youcef↗

A robust multilevel simultaneous eigenvalue solver

Multilevel (ML) algorithms for eigenvalue problems are often faced with several types of difficulties such as: the mixing of approximated eigenvectors by the solution process, the approximation of incomplete clusters of eigenvectors, the poor representation of solution on coarse levels, and the existence of close or equal eigenvalues. Algorithms that do not treat appropriately these difficulties usually fail, or their performance degrades when facing them. These issues motivated the development of a robust adaptive ML algorithm which treats these difficulties, for the calculation of a few eigenvectors and their corresponding eigenvalues. The main techniques used in the new algorithm include: the adaptive completion and separation of the relevant clusters on different levels, the simultaneous treatment of solutions within each cluster, and the robustness tests which monitor the algorithm's efficiency and convergence. The eigenvectors' separation efficiency is based on a new ML projection technique generalizing the Rayleigh Ritz projection, combined with a technique, the backrotations. These separation techniques, when combined with an FMG formulation, in many cases lead to algorithms of O(qN) complexity, for q eigenvectors of size N on the finest level. Previously developed ML algorithms are less focused on the mentioned difficulties. Moreover, algorithms which employ fine level separation techniques are of O(q(sub 2)N) complexity and usually do not overcome all these difficulties. Computational examples are presented where Schrodinger type eigenvalue problems in 2-D and 3-D, having equal and closely clustered eigenvalues, are solved with the efficiency of the Poisson multigrid solver. A second order approximation is obtained in O(qN) work, where the total computational work is equivalent to only a few fine level relaxations per eigenvector.

Costiner, Sorin↗

Implicity restarted Arnoldi/Lanczos methods for large scale eigenvalue calculations

Eigenvalues and eigenfunctions of linear operators are important to many areas of applied mathematics. The ability to approximate these quantities numerically is becoming increasingly important in a wide variety of applications. This increasing demand has fueled interest in the development of new methods and software for the numerical solution of large-scale algebraic eigenvalue problems. In turn, the existence of these new methods and software, along with the dramatically increased computational capabilities now available, has enabled the solution of problems that would not even have been posed five or ten years ago. Until very recently, software for large-scale nonsymmetric problems was virtually non-existent. Fortunately, the situation is improving rapidly. The purpose of this article is to provide an overview of the numerical solution of large-scale algebraic eigenvalue problems. The focus will be on a class of methods called Krylov subspace projection methods. The well-known Lanczos method is the premier member of this class. The Arnoldi method generalizes the Lanczos method to the nonsymmetric case. A recently developed variant of the Arnoldi/Lanczos scheme called the Implicitly Restarted Arnoldi Method is presented here in some depth. This method is highlighted because of its suitability as a basis for software development.

Sorensen, Danny C.↗

The asymptotic spectra of banded Toeplitz and quasi-Toeplitz matrices

Toeplitz matrices occur in many mathematical, as well as, scientific and engineering investigations. This paper considers the spectra of banded Toeplitz and quasi-Toeplitz matrices with emphasis on non-normal matrices of arbitrarily large order and relatively small bandwidth. These are the type of matrices that appear in the investigation of stability and convergence of difference approximations to partial differential equations. Quasi-Toeplitz matrices are the result of non-Dirichlet boundary conditions for the difference approximations. The eigenvalue problem for a banded Toeplitz or quasi-Toeplitz matrix of large order is, in general, analytically intractable and (for non-normal matrices) numerically unreliable. An asymptotic (matrix order approaches infinity) approach partitions the eigenvalue analysis of a quasi-Toeplitz matrix into two parts, namely the analysis for the boundary condition independent spectrum and the analysis for the boundary condition dependent spectrum. The boundary condition independent spectrum is the same as the pure Toeplitz matrix spectrum. Algorithms for computing both parts of the spectrum are presented. Examples are used to demonstrate the utility of the algorithms, to present some interesting spectra, and to point out some of the numerical difficulties encountered when conventional matrix eigenvalue routines are employed for non-normal matrices of large order. The analysis for the Toeplitz spectrum also leads to a diagonal similarity transformation that improves conventional numerical eigenvalue computations. Finally, the algorithm for the asymptotic spectrum is extended to the Toeplitz generalized eigenvalue problem which occurs, for example, in the stability of Pade type difference approximations to differential equations.

Beam, Richard M.↗

Eigenvalue routine by Sturm sequence method

Computer program has been generated for efficient solution of certain broad classes of eigenvalue problems. Procedure fully exploits banded nature of associated matrices and further enables user to compute either all roots or any specific ones desired. Special storage options enable storing only nonzero elements of associated main matrix of eigenvalue problem.

Gupta, K. K.↗

Eigenvalue error analysis of viscously damped structures using a Ritz reduction method

The efficient solution of the eigenvalue problem that results from inserting passive dampers with variable stiffness and damping coefficients into a structure is addressed. Eigenanalysis of reduced models obtained by retaining a number of normal modes augmented with Ritz vectors corresponding to the static solutions resulting from the load patterns introduced by the dampers has been empirically shown to yield excellent approximations to the full eigenvalue problem. An analysis of this technique in the case of a single damper is presented. A priori and a posteriori error estimates are generated and tested on numerical examples. Comparison theorems with modally truncated models and a Markov parameter matching reduced-order model are derived. These theorems corroborate the heuristic that residual flexibility methods improve low-frequency approximation of the system. The analysis leads to other techniques for eigenvalue approximation. Approximate closed-form solutions are derived that include a refinement to eigenvalue derivative methods for approximation. An efficient Newton scheme is also developed. A numerical example is presented demonstrating the effectiveness of each of these methods.

Chu, Cheng-Chih↗

A general algorithm for solving the algebraic Riccati equation

The generalized eigenvalue problem provides a suitable framework for reliable solutions of many system theoretic, control, and estimation problems. A general algorithm for solving the matrix algebraic Riccati equation (ARE) which utilizes a pencil structure is described here. This algorithm avoids unnecessary inversion of cost or transition matrices, making it a numerically sound way to solve for the gains and/or ARE with singular quadratic costs, for cases satisfying detectability and stabilizability conditions. Examples are solution with discrete dead-beat control, noiseless measurements in Kalman filters and time-delays in discrete-time systems, which cause difficulties in the Hamiltonian standard eigenvalue problem formulation. The ARE algorithm implementatiton and numerical examples are shown.

Walker, R. A.↗

Issac, Jason Cherian ses in transonic flow

Flutter analysis of a two degree of freedom airfoil in compressible flow is performed using a state-space representation of the unsteady aerodynamic behavior. Indicial response functions are used to represent the normal force and moment response of the airfoil. The structural equations of motion of the airfoil with bending and torsional degrees of freedom are coupled to the unsteady air loads and the aeroelastic system so modelled is solved as an eigenvalue problem to determine the stability. The aeroelastic equations are also directly integrated with respect to time and the time-domain results compared with the results from the eigenanalysis. A good agreement is obtained. The derivatives of the flutter speed obtained from the eigenanalysis are calculated with respect to the mass and stiffness parameters by both analytical and finite-difference methods for various transonic Mach numbers. The experience gained from the two degree of freedom model is applied to study the sensitivity of the flutter response of a wing with respect to various shape parameters. The parameters being considered are as follows: (1) aspect ratio; (2) surface area of the wing; (3) taper ratio; and (4) sweep. The wing deflections are represented by Chebyshev polynomials. The compressible aerodynamic state-space model used for the airfoil section is extended to represent the unsteady aerodynamic forces on a generally laminated tapered skewed wing. The aeroelastic equations are solved as an eigenvalue problem to determine the flutter speed of the wing. The derivatives of the flutter speed with respect to the shape parameters are calculated by both analytical and finite difference methods.

Issac, Jason Cherion↗

A hybrid-perturbation-Galerkin technique which combines multiple expansions

A two-step hybrid perturbation-Galerkin method for the solution of a variety of differential equations type problems is found to give better results when multiple perturbation expansions are employed. The method assumes that there is parameter in the problem formulation and that a perturbation method can be sued to construct one or more expansions in this perturbation coefficient functions multiplied by computed amplitudes. In step one, regular and/or singular perturbation methods are used to determine the perturbation coefficient functions. The results of step one are in the form of one or more expansions each expressed as a sum of perturbation coefficient functions multiplied by a priori known gauge functions. In step two the classical Bubnov-Galerkin method uses the perturbation coefficient functions computed in step one to determine a set of amplitudes which replace and improve upon the gauge functions. The hybrid method has the potential of overcoming some of the drawbacks of the perturbation and Galerkin methods as applied separately, while combining some of their better features. The proposed method is applied, with two perturbation expansions in each case, to a variety of model ordinary differential equations problems including: a family of linear two-boundary-value problems, a nonlinear two-point boundary-value problem, a quantum mechanical eigenvalue problem and a nonlinear free oscillation problem. The results obtained from the hybrid methods are compared with approximate solutions obtained by other methods, and the applicability of the hybrid method to broader problem areas is discussed.

Geer, James F.↗

A hybrid perturbation-Galerkin technique that combines multiple expansions

A two-step hybrid perturbation-Galerkin method for the solution of a variety of differential equations type problems is found to give better results when multiple perturbation expansions are employed. The method assumes that there is parameter in the problem formulation and that a perturbation method can be used to construct one or more expansions in this perturbation coefficient functions multiplied by computed amplitudes. In step one, regular and/or singular perturbation methods are used to determine the perturbation coefficient functions. The results of step one are in the form of one or more expansions each expressed as a sum of perturbation coefficient functions multiplied by a priori known gauge functions. In step two the classical Bubnov-Galerkin method uses the perturbation coefficient functions computed in step one to determine a set of amplitudes which replace and improve upon the gauge functions. The hybrid method has the potential of overcoming some of the drawbacks of the perturbation and Galerkin methods as applied separately, while combining some of their better features. The proposed method is applied, with two perturbation expansions in each case, to a variety of model ordinary differential equations problems including: a family of linear two-boundary-value problems, a nonlinear two-point boundary-value problem, a quantum mechanical eigenvalue problem and a nonlinear free oscillation problem. The results obtained from the hybrid methods are compared with approximate solutions obtained by other methods, and the applicability of the hybrid method to broader problem areas is discussed.

Geer, James F.↗

State space approach to mixed boundary value problems.

A state-space procedure for the formulation and solution of mixed boundary value problems is established. This procedure is a natural extension of the method used in initial value problems; however, certain special theorems and rules must be developed. The scope of the applications of the approach includes beam, arch, and axisymmetric shell problems in structural analysis, boundary layer problems in fluid mechanics, and eigenvalue problems for deformable bodies. Many classical methods in these fields developed by Holzer, Prohl, Myklestad, Thomson, Love-Meissner, and others can be either simplified or unified under new light shed by the state-variable approach. A beam problem is included as an illustration.

Chen, C. F.↗

Optimal three finger grasps

Consideration is given to the problem of optimal force distribution among three point fingers holding a planar object. A scheme that reduces the nonlinear optimization problem to an easily solved generalized eigenvalue problem is proposed. This scheme generalizes and simplifies results of Ji and Roth (1988). The generalizations include all possible geometric arrangements and extensions to three dimensions and to the case of variable coefficients of friction. For the two-dimensional case with constant coefficients of friction, it is proved that, except for some special cases, the optimal grasping forces (in the sense of minimizing the dependence on friction) are those for which the angles with the corresponding normals are all equal (in absolute value).

Demmel, J.↗

Diffraction of a plane pulse by a three-dimensional corner.

The conical solutions for the incidence of a plane pulse on a three-dimensional corner are presented. The corner is represented by a trihedron with one edge perpendicular to the other two. Both the boundary condition of the first kind and that of the second kind are considered. Outside the characteristic sphere of the vertex of the corner, the solution is represented by the well-known conical solutions in two variables. Inside the characteristic sphere, the problem involves three conical variables. By the separation of variables, the problem is reduced to that of an eigenvalue problem with an irregular boundary which is in turn reduced to a system of homogeneous algebraic equations. The eigenvalues are then determined numerically. By the superposition of the conical solutions for plane pulses, the solution for the incidence of a plane wave is obtained. Numerical examples simulating the incidence of a sonic boom on the corner of a structure are presented.

Ting, L.↗

On the Directional Dependence and Null Space Freedom in Uncertainty Bound Identification

In previous work, the determination of uncertainty models via minimum norm model validation is based on a single set of input and output measurement data. Since uncertainty bounds at each frequency is directionally dependent for multivariable systems, this will lead to optimistic uncertainty levels. In addition, the design freedom in the uncertainty model has not been utilized to further reduce uncertainty levels. The above issues are addressed by formulating a min- max problem. An analytical solution to the min-max problem is given to within a generalized eigenvalue problem, thus avoiding a direct numerical approach. This result will lead to less conservative and more realistic uncertainty models for use in robust control.

Lim, K. B.↗

A numerical method for acoustic oscillations in tubes

A numerical method to obtain the neutral curve for the onset of acoustic oscillations in a helium-filled tube is described. Such oscillations can cause a serious heat loss in the plumbing associated with liquid helium dewars. The problem is modelled by a second-order, ordinary differential eigenvalue problem for the pressure perturbation. The numerical method to find the eigenvalues and track the resulting points along the neutral curve is tailored to this problem. The results show that a tube with a uniform temperature gradient along it is much more stable than one where the temperature suddenly jumps from the cold to the hot value in the middle of the tube.

Gary, John M.↗

Solution of the symmetric eigenproblem AX=lambda BX by delayed division

Delayed division is an iterative method for solving the linear eigenvalue problem AX = lambda BX for a limited number of small eigenvalues and their corresponding eigenvectors. The distinctive feature of the method is the reduction of the problem to an approximate triangular form by systematically dropping quadratic terms in the eigenvalue lambda. The report describes the pivoting strategy in the reduction and the method for preserving symmetry in submatrices at each reduction step. Along with the approximate triangular reduction, the report extends some techniques used in the method of inverse subspace iteration. Examples are included for problems of varying complexity.

Thurston, G. A.↗

Development of a Three-Dimensional PSE Code for Compressible Flows: Stability of Three-Dimensional Compressible Boundary Layers

A program is developed to investigate the linear stability of three-dimensional compressible boundary layer flows over bodies of revolutions. The problem is formulated as a two dimensional (2D) eigenvalue problem incorporating the meanflow variations in the normal and azimuthal directions. Normal mode solutions are sought in the whole plane rather than in a line normal to the wall as is done in the classical one dimensional (1D) stability theory. The stability characteristics of a supersonic boundary layer over a sharp cone with 50 half-angle at 2 degrees angle of attack is investigated. The 1D eigenvalue computations showed that the most amplified disturbances occur around x(sub 2) = 90 degrees and the azimuthal mode number for the most amplified disturbances range between m = -30 to -40. The frequencies of the most amplified waves are smaller in the middle region where the crossflow dominates the instability than the most amplified frequencies near the windward and leeward planes. The 2D eigenvalue computations showed that due to the variations in the azimuthal direction, the eigenmodes are clustered into isolated confined regions. For some eigenvalues, the eigenfunctions are clustered in two regions. Due to the nonparallel effect in the azimuthal direction, the eigenmodes are clustered into isolated confined regions. For some eigenvalues, the eigenfunctions are clustered in two regions. Due to the nonparallel effect in the azimuthal direction, the most amplified disturbances are shifted to 120 degrees compared to 90 degrees for the parallel theory. It is also observed that the nonparallel amplification rates are smaller than that is obtained from the parallel theory.

Balakumar, P.↗

Eigensensitivity analysis for space structures

The main thrust of this paper is to study eigensensitivity analysis techniques and their applications to design optimization of space structures. It is found that in general, space structures show four types of eigenvalue problems most of which are related to repeated eigenvalues. This paper first gives a detailed derivation of eigensensitivity equations. Later, numerical examples are provided to verify the derived sensitivity equations as well as to demonstrate the applicability of those sensitivity equations in an iterative design environment.

Hou, Jean W.↗