Block Triangular Preconditioning for Stochastic Galerkin Method

2013/04/05 by Bin Zheng, Guang Lin, Zheng, Bin +3
Computer Science · Physics and Astronomy · #Electromagnetic Scattering and Analysis #FOS: Mathematics #Matrix Theory and Algorithms #Numerical Analysis (math.NA)

paper · pdf · doi:10.48550/arxiv.1304.1755

openalex publication_date 2013/04/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we study fast iterative solvers for the large sparse linear systems resulting from the stochastic Galerkin discretization of stochastic partial differential equations. A block triangular preconditioner is introduced and applied to the Krylov subspace methods, including the generalized minimum residual method and the generalized preconditioned conjugate gradient method. This preconditioner utilizes the special structures of the stochastic Galerkin matrices to achieve high efficiency. Spectral bounds for the preconditioned matrix are provided for convergence analysis. The preconditioner system can be solved approximately by geometric multigrid V-cycle. Numerical results indicate that the block triangular preconditioner has better performance than the traditional block diagonal preconditioner for stochastic problems with large variance.

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