bicg - Biconjugate gradients method

Syntax

Description

x = bicg(A,b) attempts to solve the system of linear equations A*x = b for x. The n-by-n coefficient matrix A must be square and should be large and sparse. The column vector b must have length n. A can be a function handle afun, such that afun(x,'notransp') returns A*x and afun(x,'transp') returns A'*x. See Function Handles in the MATLAB Programming documentation for more information.

Parameterizing Functions, in the MATLAB Mathematics documentation, explains how to provide additional parameters to the function afun, as well as the preconditioner function mfun described below, if necessary.

If bicg converges, it displays a message to that effect. If bicg fails to converge after the maximum number of iterations or halts for any reason, it prints a warning message that includes the relative residual norm(b-A*x)/norm(b) and the iteration number at which the method stopped or failed.

bicg(A,b,tol) specifies the tolerance of the method. If tol is [], then bicg uses the default, 1e-6.

bicg(A,b,tol,maxit) specifies the maximum number of iterations. If maxit is [], then bicg uses the default, min(n,20).

bicg(A,b,tol,maxit,M) and bicg(A,b,tol,maxit,M1,M2) use the preconditioner M or M = M1*M2 and effectively solve the system inv(M)*A*x = inv(M)*b for x. If M is [] then bicg applies no preconditioner. M can be a function handle mfun, such that mfun(x,'notransp') returns M\x and mfun(x,'transp') returns M'\x.

bicg(A,b,tol,maxit,M1,M2,x0) specifies the initial guess. If x0 is [], then bicg uses the default, an all-zero vector.

[x,flag] = bicg(A,b,...) also returns a convergence flag.

Flag	Convergence
0	bicg converged to the desired tolerance tol within maxit iterations.
1	bicg iterated maxit times but did not converge.
2	Preconditioner M was ill-conditioned.
3	bicg stagnated. (Two consecutive iterates were the same.)
4	One of the scalar quantities calculated during bicg became too small or too large to continue computing.

Whenever flag is not 0, the solution x returned is that with minimal norm residual computed over all the iterations. No messages are displayed if the flag output is specified.

[x,flag,relres] = bicg(A,b,...) also returns the relative residual norm(b-A*x)/norm(b). If flag is 0, relres <= tol.

[x,flag,relres,iter] = bicg(A,b,...) also returns the iteration number at which x was computed, where 0 <= iter <= maxit.

[x,flag,relres,iter,resvec] = bicg(A,b,...) also returns a vector of the residual norms at each iteration including norm(b-A*x0).

Examples

Using bicg with a Matrix Input.

This example shows how to use bicg with a matrix input. bicg. The following code:

n = 100; 
on = ones(n,1); 
A = spdiags([-2*on 4*on -on],-1:1,n,n);
b = sum(A,2); 
tol = 1e-8; 
maxit = 15;
M1 = spdiags([on/(-2) on],-1:0,n,n); 
M2 = spdiags([4*on -on],0:1,n,n);

x = bicg(A,b,tol,maxit,M1,M2);

displays this message:

bicg converged at iteration 9 to a solution with relative
residual 5.3e-009

Using bicg with a Function Handle

This example replaces the matrix A in the previous example with a handle to a matrix-vector product function afun. The example is contained in a file run_bicg that

• Calls bicg with the @afun function handle as its first argument.

• Contains afun as a nested function, so that all variables in run_bicg are available to afun.

Place the following into a file called run_bicg:

function x1 = run_bicg
n = 100; 
on = ones(n,1); 
b = afun(on,'notransp'); 
tol = 1e-8; 
maxit = 15;
M1 = spdiags([on/(-2) on],-1:0,n,n); 
M2 = spdiags([4*on -on],0:1,n,n);
x1 = bicg(@afun,b,tol,maxit,M1,M2);

    function y = afun(x,transp_flag)
       if strcmp(transp_flag,'transp')      % y = A'*x
          y = 4 * x;
          y(1:n-1) = y(1:n-1) - 2 * x(2:n);
          y(2:n) = y(2:n) - x(1:n-1);
       elseif strcmp(transp_flag,'notransp') % y = A*x
          y = 4 * x;
          y(2:n) = y(2:n) - 2 * x(1:n-1);
          y(1:n-1) = y(1:n-1) - x(2:n);
       end
    end
end

When you enter

x1 = run_bicg;

MATLAB software displays the message

bicg converged at iteration 9 to a solution with ...
relative residual 
5.3e-009

Using a Preconditioner

This example demonstrates the use of a preconditioner.

1. Load A = west0479, a real 479-by-479 nonsymmetric sparse matrix:

   load west0479;
   A = west0479;

2. Define b so that the true solution is a vector of all ones:

   b = full(sum(A,2));
   

3. Set the tolerance and maximum number of iterations:

   tol = 1e-12; maxit = 20;

4. Use bicg to find a solution at the requested tolerance and number of iterations:

   [x0,fl0,rr0,it0,rv0] = bicg(A,b,tol,maxit);

   fl0 is 1 because bicg does not converge to the requested tolerance 1e-12 within the requested 20 iterations. In fact, the behavior of bicg is so poor that the initial guess (x0 = zeros(size(A,2),1)) is the best solution and is returned as indicated by it0 = 0. MATLAB stores the residual history in rv0.

5. Plot the behavior of bicg:

   semilogy(0:maxit,rv0/norm(b),'-o');
   xlabel('Iteration number');
   ylabel('Relative residual');

   

   The plot shows that the solution does not converge. You can use a preconditioner to improve the outcome.

6. Create the preconditioner with ilu, since the matrix A is nonsymmetric:

   [L,U] = ilu(A,struct('type','ilutp','droptol',1e-5));
   Error using ilu
   There is a pivot equal to zero. Consider decreasing 
   the drop tolerance or consider using the 'udiag' option.

   MATLAB cannot construct the incomplete LU as it would result in a singular factor, which is useless as a preconditioner.

7. You can try again with a reduced drop tolerance, as indicated by the error message:

   [L,U] = ilu(A,struct('type','ilutp','droptol',1e-6));
   [x1,fl1,rr1,it1,rv1] = bicg(A,b,tol,maxit,L,U);

   fl1 is 0 because bicg drives the relative residual to 4.1410e-014 (the value of rr1). The relative residual is less than the prescribed tolerance of 1e-12 at the sixth iteration (the value of it1) when preconditioned by the incomplete LU factorization with a drop tolerance of 1e-6. The output rv1(1) is norm(b), and the output rv1(7) is norm(b-A*x2).

8. You can follow the progress of bicg by plotting the relative residuals at each iteration starting from the initial estimate (iterate number 0):

semilogy(0:it1,rv1/norm(b),'-o');
xlabel('Iteration number');
ylabel('Relative residual');

References

[1] Barrett, R., M. Berry, T.F. Chan, et al., Templates for the Solution of Linear Systems: Building Blocks for Iterative Methods, SIAM, Philadelphia, 1994.

See Also

bicgstab | cgs | function_handle | gmres | ilu | lsqr | luinc | minres | mldivide | pcg | qmr | symmlq

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