Towards Universal Convergence of Backward Error in Linear System Solvers
This work provides the first universal convergence guarantee for backward error in linear system solvers, addressing a long-standing open problem and offering practical algorithms with strong empirical performance.
The paper shows that Richardson iteration achieves a universal backward error convergence rate of O(1/k) for any positive semidefinite linear system, independent of condition number, leading to an O(n^2/ε) algorithm. By minimizing backward error directly, they obtain a faster O(1/k^2) rate and an algorithm MINBERR with O(n^2/√ε) complexity.
The quest for an algorithm that solves an $n\times n$ linear system in $O(n^2)$ time complexity, or $O(n^2 \text{poly}(1/ε))$ when solving up to $ε$ relative error, is a long-standing open problem in numerical linear algebra and theoretical computer science. There are two predominant paradigms for measuring relative error: forward error (i.e., distance from the output to the optimum solution) and backward error (i.e., distance to the nearest problem solved by the output). In most prior studies, convergence of iterative linear system solvers is measured via various notions of forward error, and as a result, depends heavily on the conditioning of the input. Yet, the numerical analysis literature has long advocated for backward error as the more practically relevant notion of approximation. In this work, we show that -- surprisingly -- the classical and simple Richardson iteration incurs at most $1/k$ (relative) backward error after $k$ iterations on any positive semidefinite (PSD) linear system, irrespective of its condition number. This universal convergence rate implies an $O(n^2/ε)$ complexity algorithm for solving a PSD linear system to $ε$ backward error, and we establish similar or better complexity when using a variety of Krylov solvers beyond Richardson. Then, by directly minimizing backward error over a Krylov subspace, we attain an even faster $O(1/k^2)$ universal rate, and we turn this into an efficient algorithm, MINBERR, with complexity $O(n^2/\sqrtε)$. We extend this approach via normal equations to solving general linear systems, for which we empirically observe $O(1/k)$ convergence. We report strong numerical performance of our algorithms on benchmark problems.