A block-Lanczos method for large continuation problems

DOI10.1023/A:1019161413952MaRDI QIDQ1817783zbMATH OpenOpenAlexFDO

Authors Daniela Calvetti, Lothar Reichel

Publication date 2 August 2000

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1019161413952

zbMATH Keywords

bifurcationblock-Lanczos algorithmconjugate gradientseigenvalue computationeigenvectorsEuler's methodlarge continuation problemsleast squaresNewton's methodnonlinear systemsnumerical examplepath followingpreconditioningsingular pointsturning points

Mathematics Subject Classification ID

Numerical solution of nonlinear eigenvalue and eigenvector problems (65H17) Global methods, including homotopy approaches to the numerical solution of nonlinear equations (65H20)

Review text

When computing solution paths of systems of nonlinear parametric equations \[ G(u,\tau)=0, \] important problems may arise when bifurcation or turning points are encountered. In order to be able to detect such points and pass or traverse them along a desired path, a method is proposed here that solves iteratively the linear systems that arise in the application of Euler's method combined with Newton's method. The problems considered here produce symmetric Jacobian matrices and the iterative method is based on the block-Lanczos algorithm. The method allows the simultaneous computation of some small eigenvalues as well as its eigenvectors. This makes it easy to detect singular points, whose eigenvectors span the null space of the Jacobian matrix, which allows the computation of the least squares solution of the system \[ G_u*u_{\tau }+G_{\tau } =0, \] from which the derivative \(u_{\tau }\) for Euler's method is obtained. In a numerical example that illustrates the method, it is shown that it is more efficient than it would be with the application of conjugate gradients, that it is efficient for path following, and that it can be applied to very large problems, because it only requires the evaluation of matrix-vector products with Jacobian matrices.

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• An Adaptation of Krylov Subspace Methods to Path Following Problems
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• Dealing with linear dependence during the iterations of the restarted block Lanczos methods
• Bordered augmented linear systems in numerical continuation and bifurcation

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