Use of Iterative Refinement in the Solution of Sparse Linear Systems
Zahari Zlatev · SIAM Journal on Numerical Analysis · 1982
It is well known that if Gaussian elimination with iterative refinement (IR) is used in the solution of systems of linear algebraic equations $Ax = b$ whose matrices are dense, then the accuracy of the results will usually be greater than the accuracy obtained by the use of Gaussian elimination without iterative refinement (DS). However, both more storage (about $100\% $, because a copy of matrix A is needed) and more computing time (some extra time is needed to perform the iterative process) must be used with IR. Normally, when the matrix is sparse the accuracy of the solution computed by some sparse matrix technique and IR will still be greater. In this paper it is verified (by many numerical experiments) that the use of sparse matrix techniques with IR may also result in a reduction of both the computing time and the storage requirements (this will never happen when IR is applied for dense matrices). Two parameters, a drop-tolerance $T \geqq 0$ and a stability factor $u > 1$, are introduced in the efforts to achieve such a reduction. By the use of positive values for T some “small” elements are dropped. By the use of $u > 1$ the stability requirements in the popular partial pivoting (where $u = 1$) are relaxed in an attempt to preserve the sparsity of matrix A. The use of a large T and/or a large u leads to an inaccurate factorization, but the accuracy lost is normally regained in the iterative process. Many examples are given in order to compare the use of IR with large values for T and/or u and the use of DS (where both T and u must be small) in the solution of systems whose matrices are large and sparse. The main conclusion is that iterative refinement may effectively be used as an option in many packages for the solution of sparse linear systems.