Recent Progress in GMRES-Based Iterative Refinement for Weighted and Generalized Least-Squares Problems
Abstract
With the recent emergence of mixed precision hardware, there has been a renewed interest in its use for solving numerical linear algebra problems fast and accurately. The solution of least squares (LS) problems $\min_x\|b-Ax\|_2$, where $A \in \mathbb{R}^{m\times n}$, arise in numerous application areas.
Overdetermined standard least squares problems can be solved by using mixed precision within the iterative refinement method of Bj\"{o}rck, which transforms the least squares problem into an $(m+n)\times(m+n)$ ''augmented'' system. It has recently been shown that mixed precision GMRES-based iterative refinement can also be used, in an approach termed GMRES-LSIR.
In practice, we often encounter types of least squares problems beyond standard least squares, including weighted and generalized least squares, $\min_x\|D^{1/2}(b-Ax)\|_2$, where $D^{1/2}$ is a (diagonal) matrix of weights. In this talk, we discuss a mixed precision GMRES-LSIR algorithm for solving these problems.