DSM for solving ill-conditioned linear algebraic systems

MaRDI QIDQ6476579zbMATH OpenFDO

Authors A. G. Ramm

Publication date 12 January 2006

Mathematics Subject Classification ID

Linear equations (linear algebraic aspects) (15A06) Numerical computation of matrix norms, conditioning, scaling (65F35) Conditioning of matrices (15A12) Equations and inequalities involving linear operators, with vector unknowns (47A50)

Abstract: A standard way to solve linear algebraic systems $Au=f,,,(\ast )$ with ill-conditioned matrices $A$ is to use variational regularization. This leads to solving the equation $(A^{\ast }A+aI)u=A^{\ast }{f}_d$, where $a$ is a regularization parameter, and $f_d$ are noisy data, $||f-f_d||leqd$. Numerically it requires to calculate products of matrices $A^{\ast }A$ and inversion of the matrix $A^{\ast }A+aI$ which is also ill-conditioned if $a>0$ is small. We propose a new method for solving (*) stably, given noisy data $f_d$. This method, the DSM (Dynamical Systems Method) is developed in this paper for selfadjoint $A$. It consists in solving a Cauchy problem for systems of ordinary differential equations.

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