Gram-Schmidt Orthogonalization: 100 Years and More

Transcription

1 Gram-Schmidt Orthogonalization: 100 Years and More September 12, 2008

2 Outline of Talk Early History ( ) Middle History 1. The work of Åke Björck Least squares, Stability, Loss of orthogonality 2. The work of Heinz Rutishauser Selective reorthogonalization and Superorthogonalization Modern Research 1. Recent results on the Gram-Schmidt algorithms 2. Column Pivoting and Rank Revealing factorizations 3. Applications to Krylov Subspace Methods

3 Earlier History Least Squares - Gauss and Legendre Laplace 1812, Analytic Theory of Probabilities (1814, 1820) Cauchy 1837, 1847 (Interpolation) and Bienaymé 1853 J. P. Gram, 1879(Danish), 1883(German) Erhard Schmidt 1907

4 Gauss and least squares Priority dispute: A. M. Legendre -first publication 1805; Gauss claimed discovery in 1795 G. Piazzi, January 1801 discovered asteroid Ceres. Tracked it for 6 weeks.

5 The Gauss derivation of the normal equations Let ˆx be the solution A T Ax = A T b. For any x we have r = (b Aˆx) + A(ˆx x) ˆr + Ae, and since A Tˆr = A T b A T Aˆx = 0 r T r = (ˆr + Ae) T (ˆr + Ae) = ˆr Tˆr + (Ae) T (Ae). Hence r T r is minimized when x = ˆx.

6 Pierre-Simon Laplace ( ) Mathematical Astronomy Celestial Mechanics Laplace s Equation Laplace Transforms Probability Theory and Least Squares

7 Théorie Analytique des Probabilités - Laplace 1812 Problem: Compute masses of Saturn and Jupiter from systems of normal equations (Bouvart) and to compute the distribution of error in the solutions. Method: Laplace successively projects the system of equations orthogonally to a column of the observation matrix to eliminate all variables but the one of interest. Basically Laplace uses MGS to prove that, given an overdetermined system with a normal perturbation on the right-hand side, its solution has a centered normal distribution with variance independent from the parameters of the noise.

8 Laplace Linear Algebra Laplace uses MGS to derive the Cholesky form of the normal equations, R T Rx = A T x Laplace does not seem to realize that the vectors generated are mutually orthogonal. He does observe that the generated vectors are each orthogonal to the residual vector.

9 Cauchy and Bienaymé Figure: A. Cauchy Figure: I. J. Bienaymé

10 Cauchy and Bienaymé Cauchy (1837) and (1847)- interpolation method leading to systems of the form Z T Ax = Z T b, where Z = (z 1,..., z n ) and z ij = ±1. Bienaymé (1853) new derivation of Cauchy s algorithm based on Gaussian elimination. Bienaymé noted that the Cauchy s choice of Z was not optimal in the least squares sense. Least squares solution if Z = A (normal equations) or more generally if R(Z) = R(A). The matrix Z can be determined a column at a time as the elimination steps are carried out.

11 3 3 example z1 T a 1 z1 T a 2 z1 T a 3 z2 T a 1 z2 T a 2 z2 T a 3 z3 T a 1 z3 T a 2 z3 T a 3 Transform i, jth element (2 i, j 3) zi T a j zt i a 1 z1 T a z1 T a j = zi T 1 x 1 x 2 x 3 = z T 1 b z T 2 b z T 3 b ( a j zt 1 a ) j z1 T a a 1 zi T a (2) j, 1

12 Bienaymé Reduction The reduced system has the form zt 2 a(2) 2 z2 T a(2) 3 z3 T a(2) 2 z3 T a(2) 3 where we have defined x 2 x 3 = zt 2 b(2) z3 T b(2) a (2) j = a j zt 1 a j z1 T a a 1, 1 b (2) = b zt 1 b z T 1 b a 1. Finally z 3 is chosen and used to form the single equation z T 3 a (3) 3 x 3 = z T 3 b (3). Taking the first equation from each step gives a triangular system defining the solution.

13 An interesting choice of Z Åke Björck has noted that since we want R(Z) = R(A), if we choose Z = Q where Then we have q 1 = a 1, q 2 = a (2) 2, q 3 = a (3) 3,... q 2 = a 2 qt 1 a 2 q1 T q q 1, q 3 = a (2) 1 3 qt 2 a(2) 3 q T 2 q 2 q 2,..., which is exactly the modified Gram-Schmidt procedure!

14 Jørgen Pedersen Gram ( ) Dual career: Mathematics (1873) and Insurance (1875, 1884) Research in modern algebra, number theory, models for forest management, integral equations, probability, numerical analysis. Active in Danish Math Society, edited Tidsskrift journal ( ). Best known for his orthogonalization process

15 J. P. Gram: 1879 Thesis and 1883 paper Series expansions of real functions using least squares MGS orthogonalization applied to orthogonal polynomials Determinantal representation for resulting orthogonal functions Application to integral equations

16 Erhard Schmidt ( ) Ph.D. on integral equations, Gottengin 1905 Student of David Hilbert 1917 University of Berlin, set up Inst for Applied Math Director of Math Res Inst of German Acad of Sci Known for his work in Hilbert Spaces Played important role in the development of modern functional analysis

17 Schmidt 1907 paper p 442 CGS for sequence of functions φ 1,..., φ n with respect to inner product f, g = b a f (x)g(x)dx p 473 CGS for an infinite sequence of functions In footnote (p 442) Schmidt claims that in essence the formulas are due to J. P. Gram. Actually Gram does MGS and Schmidt does CGS Y. K. Wong paper refers to Gram-Schmidt Orthogonalization Process (First such linkage?)

18 Original algorithm of Schmidt for CGS ψ 1 (x) = ψ 2 (x) =. ψ n (x) = φ 1 (x) b a φ 1(y) 2 dy φ 2 (x) ψ 1 (x) b a φ 2(z)ψ 1 (z))dz b a (φ 2(y) ψ 1 (y) b a φ 2(z)ψ 1 (z))dz) 2 dy φ n (x) ρ=n 1 ρ=1 ψ ρ (x) b a φ n(z)ψ ρ (z)dz b a (φ n(x) ρ=n 1 ρ=1 ψ ρ (x) b a φ n(z)ψ ρ (z)dz) 2 dy

19 Åke Björck Specialist in Numerical Least Squares 1967 Backward stability of MGS for least squares 1992 Björck and Paige: Loss and recapture of orthogonality in MGS 1994 Numerics of Gram-Schmidt Orthogonalization 1996 SIAM: Numerical Methods for Least Squares

20 Björck 1967: Solving Least Squares Problems by Gram-Schmidt Orthogonalization If A has computed MGS factorization Loss of orthogonality in MGS Q R I Q T Q 2 c 1 (m, n) 1 c 2 (m, n)κu κu Backward stability A + E = Q R where E c(m, n)u A 2 and Q T Q = I

21 Björck and Paige 1992 Ã = O A = Q R = Q 11 Q 12 R1 Q 21 Q22 O where Q = H 1 H 2 H n (a product of Householder matrices) Q 11 = O and A = Q 21 R1 (C. Sheffield) Q 21 R1 and A = QR (MGS) numerically equivalent In fact if Q = (q 1,..., q n ) then where H k = I v k v T k, v k = e k q k, k = 1,..., n k = 1,..., n

22 Loss of Orthogonality in CGS With CGS you could have catastrophic cancellation. Gander Better to compute Cholesky factorization of A T A and then set Q = AR 1 Smoktunowicz, Barlow, and Langou, 2006 If A T A is numerically nonsingular and the pythagorean version of CGS is used then the loss of orthogonality is proportional to κ 2

23 Pythagorean version of CGS Computation of diagonal entry r kk at step k. CGS: r kk = w k 2 where w k = a k k 1 i=1 r ikq i CGSP: If k 1 1/2 s k = a k and p k = rik 2 then r 2 kk + p2 k = s2 k and hence i=1 r kk = (s k p k ) 1/2 (s k + p k ) 1/2

24 Heinz Rutishauser ( ) Pioneer in Computer Science and Computational Mathematics Long history with ETH as both student and distinguished faculty Selective Reorthogonalization for MGS Superorthogonalization

25 Classic Gram-Schmidt CGS Algorithm Q = A; for k = 1 : n for i = 1 : k 1; R(i, k) = Q(:, i) Q(:, k); end (Omit this line for CMGS) for i = 1 : k 1, (Omit this line for CMGS) Q(:, k) = Q(:, k) R(i, k) Q(:, i); end R(k, k) = norm(q(:, k)); Q(:, k) = Q(:, k)/r(k, k); end

26 Columnwise MGS CMGS Algorithm Q = A; for k = 1 : n for i = 1 : k 1 R(i, k) = Q(:, i) Q(:, k); Q(:, k) = Q(:, k) R(i, k) Q(:, i); end R(k, k) = norm(q(:, k)); Q(:, k) = Q(:, k)/r(k, k); end

27 Reorthogonalization Iterative orthogonalization - As each q k is generated reorthogonalize with respect to q 1,..., q k 1 Twice is enough (W. Kahan), (Giraud, Langou, and Rozložnik, 2002) Selective reorthogonalization

28 To reorthogonalize or not to reorthogonalize For most applications it is not necessary to reorthogonalize if MGS is used Both MGS least squares and MGS GMRES are backward stable In many applications it is important that the residual vector r be orthogonal to the column vectors of Q. In these cases if MGS is used, r should be reorthogonalized with respect to q n, q n 1,..., q 1 (note the reverse order)

29 Selective reorthogonalization Reorthogonalize when loss of orthogonality is detected. k 1 b = a k r ik q i i=1 Indication of cancellation if b << a k (1967) Rutishauser test: Reorthogonalize if b 1 10 a k

30 Selective reorthogonalization The Rutishauser reorthogonalization condition can be rewritten as a k b 10 or more generally a k b K There are many papers using different values of K. Generally 1 K κ 2 (A); popular choice is K = 2. Hoffman, 1989, investigates a range of K values. Giraud and Langou, 2003, use the alternate condition k 1 i=1 r ik r kk > L

31 Superorthogonalization x T y fl(x T y) γ n x T y γ n = nε/(1 nε), x is the vector with elements x i. If x is orthogonal y then fl(x T y) γ n x T y (1) Rutishauser Superorthogonalization: Given x and y keep orthogonalizing until (1) is satisfied.

32 Superorthogonalization Example x = , y = are numerically orthogonal, however x T y and x T y Perform two reorthogonalizations: y y (2) y (3)

33 Superorthogonalization Calculations x y y (2) y (3) 1e+00 1e e e 25 1e 40 1e e e+00 1e 20 1e e e 10 1e 10 1e e e 21 1e 15 1e e e 10 Decrease in scalar products x T y = 1e 20 x T y (2) = e 37 x T y (3) = 0

34 Column pivoting Golub, 1965 Golub and Businger, 1965 After k steps Qk T AΠ k = H k H 1 AP 1 P k = R (k) = R (k) 11 R (k) 12 O R (k) 22 Choose pivot column corresponding to the column (with smallest index) of R 22 that has smallest 2-norm. This strategy minimizes R 22 (1,2) at each step

35 The (1,2) Matrix Norm The (1,2) norm of an m n matrix A is defined by A (1,2) = ( a 1 2,..., a n 2 ) Note: Since Ax 2 A (1,2) x 1 it follows that A (1,2) = max x 0 Ax 2 x 1 Furthermore, if B is any n k matrix, then AB (1,2) A 2 max( b 1 2,..., b k 2 ) = A 2 B (1,2)

36 Failure of column pivoting to detect rank deficiencies Column pivoting may fail to detect rank deficiencies. Example of W. Kahan K n = diag(1, s, s 2,..., s n 1 ) where c 2 + s 2 = 1 and c 0. 1 c c c c 0 1 c c c c c c

37 Pivoting strategies based on 2-norm optimizations Singular value interlacing σ k (R (k) 11 ) σ k(a) and σ 1 (R (k) 22 ) σ k+1(a) To reveal rank, choose a pivoting strategy to minimize R (k) 22 2 (rather than (1,2) norm). Alternative approach: Choose pivoting strategy to maximize 1 (R (k) = σ k (R (k) 11 ) 1 11 ) 2

38 Rank Revealing QR (RRQR) L. V. Foster, 1986 and Tony Chan 1987 algorithms use Linpack condition estimator. Chan first to refer to factorizations as rank revealing Existence of RRQR s shown by Hong and Pan, 1992 Chandrasekaran and Ipsen, 1994, Hybrid methods combining both optimization approaches

39 More hybrid RRQR algorithms Pan and Tang, 1999 Hybrid algorithms based on Pivoted Blocks and Cyclic Pivoting Bischof and Quintana-Orti, 1998 Block versions of hybrid algorithms with ICE Incremental Condition Estimation (1990)

40 Nullspace Computations Given A has numerical rank k and an RRQR factorization AP = (Q 1, Q 2 ) R 11 R 12 O R 22 where R 11 is k k and R 22 O. Approximate nullspace basis Z = P R 1 11 R 12 I n k

41 Strong RRQR factorizations Problem in computing nullspace basis if R 11 is ill-conditioned. Strong RRQR: Gu and Eisentat, 1996 Strong RRQR factorization if the entries of R 1 11 R 12 are not too large. In many applications the nullspaces need to be updated as A is updated.

42 UTV decompositions G. W. Stewart, URV (1992) and ULV (1993) Here AV = UT where V = (V 1, V 2 ) is orthogonal and T is triangular. The columns of V 2 form an approximate null space basis. Fierro and Hansen (1997) Low rank UTV factorizations MATLAB routines: UTV Tools (1995), UTV Expansion Pack (2005)

43 Krylov Subspace Methods for Ax = b Find orthonormal basis for the Krylov subspace K k (A, r 0 ) = span{r 0, Ar 0, A 2 r 0,..., A k 1 r 0 }. If MGS is used to compute QR-decomposition then in the process we compute K = [r 0, Ar 0,..., A k 1 r 0 ] = Q k R q j = c 0 r 0 + c 1 Ar c j 1 A j 1 r 0, with c j 1 = 1 r jj 0. Arnoldi Process: Use Aq j instead of A j r 0.

44 MGS GMRES MGS GMRES is the most usual way to apply Arnoldi to large sparse unsymmetric linear systems. Succeeds despite loss of orthogonality

45 MGS GMRES Greenbaum, Rozložnik, and Strakoš (1997) Arnoldi basis vectors begin to loose their linear independence only after the GMRES residual norm has been reduced to almost its final level of accuracy. C. Paige, A. Rozložnik, and Z. Strakoš (2006) MGS-GMRES without reorthogonalization is backward stable. What matters is not the loss of orthogonality but the loss of linear independence.

46 Conclusions Orthogonality plays a fundamental role in applied mathematics. The Gram-Schmidt algorithms are at the core of much of what we do in computational mathematics. Stability of GS is now well understood. The GS Process is central to solving least squares problems and to Krylov subspace methods. The QR factorization paved the way for modern rank revealing factorizations. What will the future bring?