Pascal den Boef

Pascal den Boef, Patrick Kürschner, Xiaobo Liu et al.

Reduced rank extrapolation (RRE) is an acceleration method typically used to accelerate the iterative solution of nonlinear systems of equations using a fixed-point process. In this context, the iterates are vectors generated from a fixed-point mapping function. However, when considering the iterative solution of large-scale matrix equations, the iterates are low-rank matrices generated from a fixed-point process for which, generally, the mapping function changes in each iteration. To enable acceleration of the iterative solution for these problems, we propose two novel generalizations of RRE. First, we show how to effectively compute RRE for sequences of low-rank matrices. Second, we derive a formulation of RRE that is suitable for fixed-point processes for which the mapping function changes each iteration. We demonstrate the potential of the methods on several numerical examples involving the iterative solution of large-scale Lyapunov and Riccati matrix equations.

Peter Benner, Pascal den Boef, Patrick Kürschner et al.

We investigate the acceleration of stationary iterations for multi-term Sylvester equation by means of reduced rank extrapolation (RRE). Theoretical convergence results and implementations are provided for both small and large-scale problems. For the large-scale problems, an inexact non-stationary iteration is discussed, which makes use of low-rank matrix approximations. Numerical experiments illustrate the potential of the RRE acceleration which often leads to a substantial gain in convergence speed and therefore reducing the consumption of storage and computing time.