c 2006 Society for Industrial and Applied Mathematics

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1 SIAM J. MARIX ANAL. APPL. Vol. 29, No. 1, pp c 2006 Socety for Industral and Appled Mathematcs SCHWARZ IERAIONS FOR SYMMERIC POSIIVE SEMIDEFINIE PROBLEMS REINHARD NABBEN AND DANIEL B. SZYLD Abstract. Convergence propertes of addtve and multplcatve Schwarz teratons for solvng lnear systems of equatons wth a symmetrc postve semdefnte matrx are analyzed. he analyss presented apples to matrces whose prncpal submatrces are nonsngular,.e., postve defnte. hese matrces appear n dscretzatons of some ellptc partal dfferental equatons, e.g., those wth Neumann or perodc boundary condtons. Key words. lnear systems, addtve Schwarz, multplcatve Schwarz, doman decomposton methods, symmetrc postve semdefnte systems, sngular matrces, comparson theorems, overlap, coarse grd correcton AMS subject classfcatons. 65F10, 65F35, 65M55 DOI / Introducton. Doman decomposton methods, ncludng addtve and multplcatve Schwarz, are wdely used for the numercal soluton of partal dfferental equatons; see, e.g., [38], [41], [44]. Advantages of these methods nclude enhancement of parallelsm and a localzed treatment. One can fnd algebrac descrptons of them, e.g., n [14], [20], [47], especally for symmetrc postve defnte problems. In ths paper, we adopt the algebrac representaton of addtve and multplcatve Schwarz developed n a seres of papers [1], [18], [19], [34], [35], where analyss of convergence and propertes for several varants of the methods are provded, both for symmetrc postve defnte and for nonsngular M-matrces. Recently, convergence propertes were studed for sngular systems arsng n the soluton of Markov chans,.e., sngular M-matrces wth all prncpal submatrces beng nonsngular [7], [32]. In partcular, ths theory apples to sngular matrces wth a one-dmensonal nullspace, and to those representng rreducble Markov chans; see, e.g., [42]. We also menton the recent work on multplcatve Schwarz teratons for postve semdefnte operators [26], [28]. In ths paper, we extend the theory to the symmetrc postve semdefnte case, wth partcular emphass on the sngular case (the analyss of the symmetrc postve defnte case s known; see, e.g., [1], [21, Ch. 11], [41], [44]). We study n partcular the case when all prncpal submatrces are nonsngular,.e., postve defnte. hs stuaton arses n practce, e.g., n the dscretzaton of certan ellptc dfferental equatons such as Δu + u = f wth Neumann or perodc boundary condtons; see, e.g., [5]. We show that n ths case, the addtve and multplcatve Schwarz teratons are convergent and we characterze the convergence factor γ for such methods (sectons 4 and 5). We use the theory of matrx splttngs (see secton 3) to obtan these convergence propertes. We remark that we do not use splttngs to produce new Receved by the edtors November 3, 2005; accepted for publcaton (n revsed form) by M. Benz June 9, 2006; publshed electroncally December 21, Insttute für Mathematk, echnsche Unverstät Berln, D Berln, Germany (nabben@ math.tu-berln.de). Department of Mathematcs, emple Unversty (038-16), 1805 N. Broad St., Phladelpha, PA (szyld@temple.edu). Supported n part by the U.S. Natonal Scence Foundaton under grant DMS , and by the U.S. Department of Energy under grant DE-FG02-05ER

2 SCHWARZ FOR SEMIDEFINIE SYSEMS 99 statonary teratve methods. What we do s recast the Schwarz teraton matrces as comng from specfc splttngs, and we use ths setup as an analytcal tool to obtan convergence results. he convergence theory we develop mples that the correspondng precondtoned matrces have zero as an solated pont n the spectrum. he rest of the spectrum s contaned n a crcle centered at one wth radus γ<1. When consderng addtve and multplcatve Schwarz precondtoners for sngular systems, one needs to use Krylov subspace methods whch are sometmes talored for ths case; see, e.g., [17], [23], [39], and the references gven theren. We beleve that our purely algebrac approach s much smpler than that of [26], [28], and n addton, t can be appled to problems whch may not have a varatonal formulaton. Of course our approach s only vald for the fnte dmensonal case. We also consder the case of nexact local solvers (secton 6), and the nfluence of the amount of overlap and the number of blocks n the convergence rate (sectons 7 and 8). Fnally, we study the convergence of two-level methods,.e., methods where a coarse grd correcton s consdered as well (secton 9). 2. he algebrac representaton and notaton. We frst brefly descrbe the addtve and multplcatve Schwarz methods and gve some auxlary results. Addtonal notaton and background are also gven n the next secton. Let R(A) be the range of A. Consder the lnear system n R n of the form (2.1) Ax = b, b R(A). In ths paper we consder the case where A s symmetrc postve semdefnte, and we denote ths by A O. We assume that every prncpal submatrx of A s nonsngular,.e., a symmetrc postve defnte matrx, and f A s such a submatrx, we denote ths by A O. hs stuaton occurs, for nstance, when the null-space of A, N (A), s undmensonal and any generator of t has no zero entres; cf. [5]. We consder p subspaces V, wth dmv = n,,...,p, whch are spanned by columns of the dentty I over R n and such that n (2.2) V = R n =: V. Note that the subspaces V may overlap. Between the subspaces V and the space V we consder the followng mappngs: R : V V, R : V V, where rank(r )=n. R s called the restrcton operator whle R s called the prolongaton operator. We also use the matrces P = R A R A = R (R AR ) R A, where A := R AR s a permutaton of a prncpal submatrx of A, whch because of our assumpton s nonsngular. Note that P s a projecton. Wth these projectons the damped addtve Schwarz method used as an teratve method to solve (2.1) can be descrbed as (2.3) x k+1 = x k + R A R (b Ax k ) ( = I ) ( R A R A x k + R A R ) b,

3 100 REINHARD NABBEN AND DANIEL B. SZYLD where 0 < 1 s a dampng parameter; see [8], [11], [12], [13], [20], [21, Ch. 11], [41], [44]. he teraton matrx s then gven by (2.4) AS, = I R A R A = I P, or, usng the notaton (2.5) M AS = R A R, then, the teraton matrx (2.4) can be wrtten as AS, = I M AS A. Later on, n heorem 4.2, we show that the matrx on the rght-hand sde n (2.5) s nonsngular, and therefore t makes sense to denote t as M AS. Furthermore, for each >0 one can defne a splttng of A for whch the teraton matrx s precsely (2.4). One such splttng s A = 1 M AS ( 1 M AS A). When A s sngular, such splttng however s not unque; see [2]. Very often n practce the addtve Schwarz method s used for precondtonng a Krylov subspace method. In the symmetrc cases consdered here the method of choce s the conjugate gradent method; for a study of ths method for sngular systems, see [23]. Whle the matrx A may be sngular, the precondtonng matrx M s usually assumed to be symmetrc postve defnte. he addtve Schwarz precondtoner s and the precondtoned matrx s then M AS M AS A = P = I AS,1. he multplcatve Schwarz method can be wrtten as the teraton (2.6) x k+1 = MS x k + c, k =0, 1,..., wth the teraton matrx (2.7) 1 MS =(I P p )(I P p ) (I P 1 )= (I P ), =p and a certan vector c. he correspondng precondtoned matrx n ths case s I MS. Remark 2.1. Observe that for any vector y N(A),.e., such that Ay = 0, one has y = y for both teraton matrces = AS, of (2.4), or = MS of (2.7). hs mples n partcular that we need to requre n our teratons, such as (2.3), that x 0 / N(A). We outlne our strategy to prove the convergence of the teratons (2.3) and (2.6). We need to show that the powers of the teraton matrces (2.4) and (2.7) converge to a lmt; see Defnton 3.1 below. One suffcent condton for ths to hold s that there s a splttng of A of the form A = M N wth M nonsngular such that M N s the teraton matrx, and we show that ths splttng s P -regular (see

4 SCHWARZ FOR SEMIDEFINIE SYSEMS 101 Defnton 3.3 below), whch mples convergence; see heorem 3.2 below. We also use certan comparson theorems to relate the convergence of dfferent versons of these teratons. We present a context for these analytcal tools n secton 3. In the rest of ths secton, we repeat the algebrac characterzaton of the Schwarz methods used, e.g., n [1], whch s the bass to produce the above-mentoned splttngs. As already mentoned, we assume that the rows of R are rows of the n n dentty matrx I, e.g., of the form R = hs restrcton operator s often called a Boolean gather operator, whle ts transpose R s called a Boolean scatter operator. Formally, such a matrx R can be expressed as (2.8) R =[I O] π wth I the dentty on R n and π a permutaton matrx on R n. hen A s a symmetrc permutaton of an n n prncpal submatrx of A. In fact, we can wrte [ ] π Aπ A K (2.9) = K, A where A s the prncpal submatrx of A complementary to A,.e., A =[O I ] π A π [O I ] wth I the dentty on R n n. For each =1,...,p, we defne (2.10) E := R R R n n. has nonze- hese dagonal matrces have ones on the dagonal n every row where R ros. We further need sets S defned by hen (2.11) S := {j {1,...,n} :(E ) j,j =1}. p S = S = {1, 2,...,n};.e., each ndex s n at least one set S. hs s equvalent to sayng that p E I, wth equalty f and only f there s no overlap. In other words, n the case of overlappng subspaces, we have here that each dagonal entry of p E s greater than or equal to one, whch mples nonsngularty. Only n the rows correspondng to overlap ths matrx has an entry dfferent from one. For each =1,...,p, we construct a second set of matrces M R n n assocated wth R from (2.8) as [ ] (2.12) M = π A O π O D,

5 102 REINHARD NABBEN AND DANIEL B. SZYLD where under our assumptons on A O, we have that D = dag(a ) O, and thus M s nvertble. Wth the defntons (2.10) and (2.12) we obtan the followng equalty whch we wll use throughout the paper: (2.13) E M A = R A R A = P, =1,...,p. 3. Convergent matrces, splttngs, and comparson theorems. In ths secton we present some more defntons and results whch we use n the rest of the paper. Defnton 3.1. A matrx s called convergent f lm k k exsts. hs s equvalent to the followng three condtons: (1) ρ( ) 1. (2) rank(i ) = rank(i ) 2. (3) If λ =1for an egenvalue λ of, then λ =1. Condton 2 states that the ndex of the matrx I s one, or n ths case that nd 1 = 1 [3]. Several equvalent condtons can be found n [43]. One of them s the followng: (3.1) nd 1 =1 R(I ) N(I )={0},.e., that the ntersecton of the range and the null-space of I s trval. If ρ( ) = 1 for a convergent matrx then the asymptotc rate of convergence s gven by (3.2) γ( ):=max{ λ : λ σ( ), λ < 1}. When A s sngular, and we have a nonsngular matrx M, and a convergent matrx such that A = M(I ), then P = lm k k s a projecton onto N (A) = N (I ). In fact P = I (I )(I ) D, where (I ) D denote the Drazn nverse of (I ). Furthermore, f we let c = M b, and consder the teraton x k+1 = x k + c, x 0 / N(A) (cf. (2.3)), then lm k x k =(I ) D c +(I P )x 0 ; see, e.g., [3, Ch. 7.6]. A useful result n the analyss of convergent teraton matrces s the followng, due to Keller [24]. heorem 3.2. Let A be symmetrc and let M be nonsngular such that M + M A s postve defnte. hen = I M A s convergent f and only f A s postve semdefnte. Note than when M s symmetrc ths theorem says that f 2M A O, then s convergent f and only f A O. Defnton 3.3. A splttng A = M N s called P -regular f M + M A O [36], and strong P -regular f n addton N O [33]. Wth ths defnton, heorem 3.2 ndcates that a suffcent condton for convergence of s that A = M N s a P -regular splttng of a postve semdefnte matrx. Weaker suffcent condtons, and also necessary condtons not requrng the nonsngularty of M, can be found n the recent paper [27]. he followng result s a new suffcent condton for convergence, whch we use later n the paper. Lemma 3.4. Let A be symmetrc postve semdefnte and let A = M N wth M symmetrc postve defnte. If A 1 2 M A 1 2 2I, then = I M A s convergent and A = M N s a P -regular splttng.

6 SCHWARZ FOR SEMIDEFINIE SYSEMS 103 Proof. We have A 1 2 M A 1 2 2I. hus σ(a 1 2 M A 1 2 ) [0, 2). Snce σ(a 1 2 M A 1 2 )=σ(m A)=σ(AM )=σ(am 1 2 M 1 2 )=σ(m 1 2 AM 1 2 ), we have that Hence, and therefore, 2I M 1 2 AM M 1 2 (2I M 1 2 AM 1 2 )M M A 0;.e., we have a P -regular splttng. Usng heorem 3.2 we obtan that = I M A s convergent. he use of P -regular splttngs as suffcent condtons for convergence of classcal statonary teratve methods for symmetrc matrces mmcs the use of regular or weak regular splttngs as suffcent condtons for the convergence of classcal statonary teratve methods for monotone matrces; see, e.g., the classc books [3], [37], [45]. In ths case, the rate of convergence of the teratve method s gven by the spectral radus of the teraton matrx. hus, the rate of convergence of two teratve methods for monotone matrces can be compared by lookng at the correspondng spectral rad. Many comparson theorems usng dfferent hypothess on the splttngs have appeared n the lterature; see, e.g., [9], [10], [16], [29], [33], [45], [46], and other references theren. When the teraton matrces have spectral radus equal to one, as s usually the case for sngular lnear systems, the convergence rate s gven by (3.2). Comparson theorems for these can be found n [30], [31]. Here we present a new comparson theorem, whch we use n our context. We frst present the followng result due to Weyl; see [22, heorem 4.3.7]. Let M O, and denote ts egenvalues by λ 1 (M) λ 2 (M),...,λ n (M) 0. Proposton 3.5. Let M 1 and M 2 be two symmetrc postve semdefnte matrces. If M 1 M 2 then λ (M 1 ) λ (M 2 ) for all. Of course, ths proposton s vald when M s postve defnte as well. heorem 3.6. Let A be symmetrc postve semdefnte. Let M 1 and M 2 be symmetrc postve defnte and let N 1 := M 1 A and N 2 := M 2 A. If then M 1 M 2, λ (M 1 N 1) λ (M 2 N 2) for all. If addtonally N 1 and N 2 are postve semdefnte, then γ(m 1 N 1) γ(m 2 N 2).

7 104 REINHARD NABBEN AND DANIEL B. SZYLD Proof. We frst note that σ(m k A)=σ(Mk A A 2 )=σ(a Wth Proposton 3.5 we obtan for each that (3.3) Snce M k 2 M k A 1 2 ), k =1, 2. λ (M 1 A)=λ (A 1 2 M 1 A 1 2 ) λ (A 1 2 M 2 A 1 2 )=λ (M 2 A). N k = I M k A, k =1, 2, (3.3) ndcates that for each, λ (M1 N 1) λ (M2 N 2). If N 1 and N 2 are postve semdefnte then all egenvalues of M1 N 1 and M2 N 2 are nonnegatve, and therefore γ(m 1 N 1) γ(m 2 N 2). 4. Convergence of addtve Schwarz. We begn wth an auxlary result, the proof of whch follows by a straghtforward calculaton. Lemma 4.1. Let A be symmetrc postve semdefnte. hen A 1 2 R (R AR ) R A 1 2 s an orthogonal projecton. hus, I A 1 2 R (R AR ) R A 1 2 projecton and as a consequence s also an orthogonal (4.1) A 1 2 R (R AR ) R A 1 2 I, and σ(a 1 2 R (R AR ) R A 1 2 )={0, 1}. heorem 4.2. Let A be symmetrc postve semdefnte such that each prncpal submatrx s postve defnte. Let b R(A) and x 0 / N(A). If0 <<2/p, then the addtve Schwarz teraton defned by (2.4) s convergent and the splttng defned by M = 1 M AS s P -regular. Proof. Frst, as s done n [21] for the nonsngular case, we prove that the matrx R (R AR ) R s nonsngular. o that end, let the vector x be such that Hence and thus x R (R AR ) R x =0. R (R AR ) R x =0, (A 1 2 R x) A 1 2 R x = A 1 2 R x 2 2 =0,

8 SCHWARZ FOR SEMIDEFINIE SYSEMS 105 whch mples R x = 0 for =1,...,p. By our assumpton (2.2) ths mples that x =0. Usng Lemma 4.1 we have that (4.1) holds. Summng up, we have ( ) (4.2) A 1 2 R (R AR ) R A 1 2 pi, and snce <2/p, we have A 1 2 M AS A 1 2 2I. We can now use Lemma 3.4, and ths completes the proof. As s done n [21, Ch ] n the symmetrc postve defnte case, a careful look at the sum n (4.2) ndcates that we can replace the number of subdomans p wth the number of colors q of the graph of A. husa 1 2 M AS A 1 2 qi, and f <2/q, we have convergence. Remark 4.3. If we further restrct the value of the dampng parameter to <1/p (or <1/q), we have that the splttng defned by 1 M AS s strong P -regular. hs follows snce n ths case A 1 2 M AS A 1 2 I, whch mples 1 M AS A. We note that the result n heorem 4.2 apples n partcular to the symmetrc postve defnte case. hus, n our formulaton we have doubled the nterval of admssble dampng factors for convergence of the damped addtve Schwarz method, snce the usual restrcton s that <1/q; see [18], [21, Ch ]. We menton also that smple examples show that ths method may not be convergent for =1. From heorem 4.2 t follows that the only egenvalue of n the unt crcle s λ = 1, and snce we showed that M AS s nonsngular, the correspondng egenvector s a generator of the one-dmensonal N (A). It follows then (see, e.g., [22, secton 4.2]), that the convergence factor (3.2) of the addtve Schwarz teraton can be characterzed as γ( AS, ) = max z AS, z z N (A) z z=1 ( ) = max 1 (R A R z,az) z N (A) (z,z)=1 ( ) (4.3) =1 (R A R z,az). mn z N (A) (z,z)=1 We note that on the subspace N (A), the matrx A s postve defnte. Let us call  = A N (A), and we can thus replace A wth  n (4.3). Furthermore, snce Â1/2 s nvertble, we can wrte w = Â1/2 z, and wrte (4.3) as (4.4) γ( AS, )=1 mn  /2 w N (A) (w,â w)=1 w  /2 R A R  1/2 w. We pont out that the characterzaton (4.4) s also vald for the case of A symmetrc postve defnte, n whch case we have  = A. 5. Convergence of multplcatve Schwarz. We begn wth an mportant auxlary result. Lemma 5.1. Let A be a symmetrc postve semdefnte matrx such that each prncpal submatrx s postve defnte. Let x, y R n, such that (5.1) y =(I E M A)x,

9 106 REINHARD NABBEN AND DANIEL B. SZYLD where E s defned n (2.10) and M n (2.12). hen the followng holds: (5.2) y Ay x Ax = (y x) E AE (y x) 0. Proof. Consder x = π (x 1,x 2 ) and y = π (y 1,y2 ), wth x 1, y 1 R n. Further, from (2.10) and (2.8) we have that [ ] (5.3) E = π I O π O O. Consder now (5.1), whence we mmedately have that (5.4) y 2 = x 2, and usng (2.12) and (2.9), we also get (5.5) A y 1 = A 12 x 2, where here we use the notaton A 12 = K, and smlarly A 21 = K these denttes we wrte = A 12. Usng y Ay x Ax =(y 1,y 2 )π Aπ (y 1,y 2 ) (x 1,x 2 )π Aπ (x 1,x 2 ) = y 1 A y 1 + y 2 A 21 y 1 + y 1 A 12 y 2 x 1 A x 1 x 2 A 21 x 1 x 1 A 12 x 2 = x 2 A 21 (y 1 x 1 )+(y 1 x 1 )A 12 x 2 + y 1 A y 1 x 1 A x 1 = y 1 A (y 1 x 1 ) (y 1 x 1 )A y 1 + y 1 A y 1 x 1 A x 1 = (y 1 x 1 )A (y 1 x 1 )= (y x) E AE (y x), where the last equalty follows from the dentty [ E AE = π A O O O ] π. Snce A O, E AE s semdefnte as well, and the rght-hand sde of (5.2) s nonpostve. heorem 5.2. Let A be a symmetrc postve semdefnte matrx such that each prncpal submatrx s postve defnte. Let b R(A) and x 0 / N(A). hen the multplcatve Schwarz teraton defned by (2.6) s convergent. Proof. We need to prove that the teraton matrx = MS s convergent;.e., we need to prove condtons (1), (2), and (3) of Defnton 3.1. (1) Startng wth z = x (1) / N(A), let x (+1) =(I P )x ().husx (p+1) = x (1). Usng (5.2) repeatedly, and cancelng terms, we obtan (5.6) z A z z Az = (x (+1) x () ) E AE (x (+1) x () ) = ((x (+1) x () ) E )E AE (E (x (+1) x () )). Snce E AE s postve defnte t follows that the rght-hand sde of (5.6) s nonpostve. However, the rght-hand sde s zero f and only f E (x (+1) x () ) = 0 for all, =1,...,p.

10 SCHWARZ FOR SEMIDEFINIE SYSEMS 107 he other n n components of x (+1) x () are also zero usng the same argument as n Lemma 5.1 to obtan (5.4). But ths mples x (p+1) = x (+1) = x () = x (1), =1,...,p.husx (1) must be a common fxed pont of (I P ) for all =1,...,p. However, the fxed ponts of the projectons (I P ) are just the vectors z R n wth E z = 0. Snce p E I there s no such common nonzero fxed pont. Hence the rght-hand sde of (5.6) must be negatve, and we obtan z A z z Az < 0. hus we have that for all λ σ( ) wth correspondng egenvector y/ N(A) (5.7) λ 2 y Ay y Ay < 0. Hence λ 2 1 < 0. hus λ < 1. If λ σ( ) but the correspondng egenvector y N(A), we easly obtan from the defnton of that λ = 1. Hence, ρ( ) 1. (2) By (3.1), t suffces to prove that N (I ) R(I )={0}. Here we have that N (A) =N (I ). hs holds snce y / N(A) mples y y by part (1),.e., y / N(I ). On the other hand y N(A) mples y N(I ), usng the defnton of ; cf. Remark 2.1. Hence, we need to prove that (5.8) N (A) R(I )={0}. Let x N(A) R(I ). hen there exsts a y wth (I )y = x,.e., y = y+x. Snce x N(A) we obtan A(I )y = Ax =0, and thus y Ay y A y =0. Usng y = y+ x we get y Ay y A y + x A y = y Ay y A y =0. Part (1) of ths proof now mples y N(A); cf. (5.7). herefore, by Remark 2.1, x =(I )y = 0, whch completes ths part of the proof. (3) As proved above we have λ<1for all λ σ( ) wth correspondng egenvector y / N(A). hus f λ = 1 for some egenvalue λ of then the correspondng egenvector y must be n the null-space of A. Hence Ay =0. But then y = y and thus λ =1. We menton that we need to prove explctly (5.8) snce we do not have an explct representaton of a nonsngular matrx M MS such that M MS A = I MS. he exstence of such a matrx,.e., of a splttng nduced by MS [2] s only obtaned after the theorem s proved. Any splttng nduced by such a matrx M MS s thus P -regular. We also comment on the fact that n some cases one may want to have a symmetrc operator, and n such a case, the natural multplcatve operator s (5.9) SMS =(I P 1 )(I P 2 ) (I P p )(I P p )(I P p ) (I P 1 ). It follows that heorem 6.1 apples to ths case as well, and that a posteror, there exsts a nonsngular matrx M SMS such that M SMS A = I SMS. We can characterze the convergence factor (3.2) of ths symmetrc multplcatve Schwarz teraton as (5.10) γ =γ( SMS ) = (z, SMS z). max z N (A) z z=1

11 108 REINHARD NABBEN AND DANIEL B. SZYLD 6. Inexact local solvers. In ths secton we study the effect of varyng how exactly (or nexactly) the local problems are solved. he convergence of these very practcal versons of the methods s based on the same deas used to prove that of the standard Schwarz teratons n sectons 4 and 5. he nfluence of dfferent levels of nexactness s analyzed usng our comparson theorem, heorem 3.6. Very often n practce, nstead of solvng the local problems A y = z exactly, such lnear systems are approxmated by à z, where à s an approxmaton of A ; see, e.g., [6], [41], [44]. he expresson à z often represents an approxmaton to the soluton of the system A z = v usng some steps of an (nner) teratve method. By replacng A wth à n (2.4) one obtans the damped addtve Schwarz teratons wth nexact local solvers, and ts teraton matrx s then (6.1) AS, = I R à R A. he teraton matrces AS, and AS, n (2.4) and (6.1) are nduced by splttngs A = M N and A = M Ñ where (6.2) (6.3) M M = = R A R à R = R = E M O, E M O. Here (6.4) M = π [ à O O D ] π, and thus M = π [ à O O D ] π. he fact that the matrx (6.3) s nonsngular follows n the same manner as n the proof that (6.2) s nonsngular n heorem 4.2. In the case consdered n ths paper we assume, as s generally done (see, e.g., [21, Ch ]), that the nexact local solvers correspond to symmetrc postve defnte matrces and satsfy (6.5) à A. For examples of splttngs for whch the nequalty (6.5) holds, see, e.g., [33]. A stuaton worth mentonng where (6.5) holds s when A s semdefnte and the nexact local solver s defnte. hs process s usually called regularzaton; see, e.g., [15], [25]. heorem 6.1. Let A be a symmetrc postve semdefnte matrx such that each prncpal submatrx s postve defnte. Let b R(A) and x 0 / N(A). Let à and Ā be nexact local solvers of A satsfyng à Ā A. Let AS, be obtaned by replacng à by Ā n (6.1), =1,...,p. Let the dampng factor 0 <<2/p. hen the nexact addtve Schwarz teratons defned by (6.1) and AS, are convergent, and the splttngs nduced by these teraton matrces are P -regular. Wth the stronger hypothess that 0 <<1/p, we also have that γ( AS, ) γ( AS, ) γ( AS, ), and the splttngs nduced by these teraton matrces are strongly P -regular. Proof. Snce à A we have (6.6) à A,

12 and thus, usng Lemma 4.1 SCHWARZ FOR SEMIDEFINIE SYSEMS 109 A 1 2 R à R A 1 2 A 1 2 R A R A 1 2 I. Smlar nequaltes are obtaned wth Ā. he rest of the convergence proof proceeds n the same manner as that of heorem 4.2. Consder the matrces (6.2) and (6.3) whch are symmetrc postve defnte usng M as n (2.12) and M as n (6.4). From (6.6), we have that M O. hs mples M M and N Ñ. By Remark 4.3, we have that N O,.e., that the splttngs are strong P -regular. he same results are obtaned n the case of Ā. he theorem follows from heorem 3.6. As was the case wth heorem 4.2, we can replace p n the restrcton on the dampng parameter wth q, the number of colors;.e., we guarantee convergence of addtve Schwarz wth nexact local solvers for <2/q. Snce heorem 6.1 apples n partcular to the symmetrc postve defnte case, we have agan double the nterval of admssble dampng factors for the addtve Schwarz teraton wth nexact local solvers; cf. [1]. Remark 6.2. An alternatve proof of the second part of heorem 6.1 can be obtaned by consderng the two convergence factors, γ( AS, ) gven by (4.4) for the exact case, and the second gven by (6.7) γ( AS, )=1 mn  /2 w N (A) (w,â w)=1 for the nexact case. Snce σ(â/2 R A à R  1/2 ) = {0} σ(ã 0=1 ), and snce à w  /2 R à M R  1/2 w R  1/2 )={0} σ(a A ) and σ(â/2 R, we have that w  /2 R à R  1/2 w w  /2 R A R  1/2 w, =1,...,p, whch mples that γ( AS, ) γ( AS, ). For smplcty, n heorem 6.1, we assumed that the nexact versons use the same dampng parameter. It s evdent from the proofs that f the dampng parameter for the nexact verson s smaller, say, <, the same conclusons hold. he mplcaton of heorem 6.1 s that by replacng the local solvers A wth the approxmate counterparts Ã, the addtve Schwarz teraton s expected to take more teratons. In practce, a solve wth à should be suffcently less expensve so that the overall method s cheaper. Next we consder the multplcatve Schwarz method wth nexact local solvers on the subdomans. Here we assume that the approxmatons à satsfy (6.8) à + à A 0. hs assumpton mples that A = à (à A ) are P -regular splttngs. Usng (6.4), the nexact multplcatve Schwarz teraton matrx s gven by (6.9) =(I Ep M p A)(I E p M p A) (I E 1 M 1 A).

13 110 REINHARD NABBEN AND DANIEL B. SZYLD Lemma 6.3. Let A be a symmetrc postve semdefnte matrx. Let x, y R n such that y =(I E M A)x, where M s defned n (6.4) wth à satsfyng (6.8). hen the followng dentty holds: (6.10) (y x) E ( M + M A)E (y x) 0. Proof. he proof proceeds as that of Lemma 5.1. We have that (5.4) holds, but nstead of (5.5) we have Ãy 1 =(à A )x 1 A 12 x 2. We then obtan y Ay x Ax = x 2 A 21 (y 1 x 1 )+(y1 x 1 )A 12 x 2 + y1 A y 1 x 1 A x 1 =(x 1 (à A ) y1 à )(y 1 x 1 ) +(y1 x 1 )((à A )x 1 Ãy 1 )+y1 A y 1 x 1 A x 1 =( x 1 A (y1 x 1 )à )(y 1 x 1 ) +(y1 x 1 )( A x 1 Ã(y 1 x 1 )) + y1 A y 1 x 1 A x 1 = (y1 x 1 )(à + à A )(y 1 x 1 ) = (y x) E ( M + M A)E (y x) 0, where the last nequalty follows from (6.8) and the form of the matrces M n (6.4). heorem 6.4. Let A be a symmetrc postve semdefnte matrx such that each prncpal submatrx s postve defnte. Let b R(A) and x 0 / N(A). hen the multplcatve Schwarz teraton wth teraton matrx (6.9) wth M defned n (6.4) and wth nexact local solvers satsfyng (6.8) converges to the soluton of Ax = b. Proof. We need to prove that the teraton matrx s convergent;.e., we need to prove condtons (1), (2), and (3) of Defnton 3.1. he proof s smlar to the proof of heorem 5.2. he only dfference appears n provng condton (1). Here we use Lemma 6.3 and obtan z A z z Az < 0 for all z/ N(A), and the rest of the proof follows. A symmetrc verson of multplcatve Schwarz wth nexact local solvers can also be constructed n a way smlar to (5.9), and ts convergence factor can be characterzed n a way smlar to (5.10). We menton that a comparson analogous to that of the second part of heorem 6.1 s not vald for multplcatve Schwarz, not even n the defnte case. A counterexample can be found n [40]. 7. Varyng the amount of overlap. We study here how varyng the amount of overlap between subblocks (subdomans) nfluences the convergence rate of addtve Schwarz. Let us consder two sets of subblocks (subdomans) of the matrx A, as defned by the sets (2.11), such that one has more overlap than the other;.e., let (7.1) Ŝ S, =1,...,p, wth p Ŝ = p S = S. Of course, each set Ŝ defnes an ˆn n matrx ˆR, where ˆn s the cardnalty of Ŝ, and the correspondng n n matrx Ê = ˆR ˆR,as n (2.10). he relaton (7.1) mples that (7.2) I Ê E O.

14 SCHWARZ FOR SEMIDEFINIE SYSEMS 111 Smlarly, f ˆπ s such that ˆR =[I O]ˆπ, wth I the dentty n Rˆn, we denote by  the correspondng prncpal submatrx of A,.e.,  = ˆR A ˆR =[I O] ˆπ A ˆπ [I O], and, as n (2.12) defne (7.3) ˆM =ˆπ [  O O ˆD ] ˆπ, where ˆD = dag(â ) O, and  s the (n ˆn ) (n ˆn ) complementary prncpal submatrx of A as n (2.9). As n (2.13), we have here also the fundamental dentty Ê ˆM = ˆR  ˆR, =1,...,n. We want to compare ˆM wth M, although  and A are of dfferent sze. Wthout loss of generalty, we can assume that the permutatons π and ˆπ concde on the set S, and that the ndexes n S are the frst n elements n Ŝ. In fact, we can assume that ˆπ = π. hus, A s a prncpal submatrx of Â, and ˆM has the same dagonal as M. We wll apply to these the followng result for symmetrc postve defnte matrces whch can be found, e.g., n [21]. Lemma 7.1. Let A be a symmetrc postve defnte matrx and the form of the matrces M n (6.4). LetA be a symmetrc postve defnte matrx, and A = R AR, R a restrcton operator, so that A s a prncpal submatrx of A. hen R A R A. We consder the case of damped addtve Schwarz wth teraton matrx (2.4), and the teraton matrx correspondng to the larger overlap s (7.4) ˆAS, = I ˆR  heorem 7.2. Let A be a symmetrc postve semdefnte matrx such that each prncpal submatrx s postve defnte. Let b R(A) and x 0 / N(A). Consder two sets of subblocks of A defned by (7.1), and the two correspondng addtve Schwarz teratons (2.4) and (7.4). Let the dampng factor 1/p, whch mples n partcular that the addtve Schwarz methods are convergent. hen, γ( ˆ ) γ( ). Proof. As mentoned above assume that all the prncpal submatrces of A of order less than n are nonsngular. Let Q = E M = R A R and ˆQ = Ê ˆM = ˆR  ˆR. Snce A s a prncpal submatrx of Â, by Lemma 7.1 we have that ˆQ Q. herefore, ˆM = ˆQ ˆR A. Q = M O. As shown n Remark 4.3, these splttngs are strong P -regular, and the theorem follows from heorem 3.6. We note that an alternatve proof smlar to that n Remark 6.2 can be appled here, usng the relaton ˆR  ˆR = ˆQ Q = R A R just proved.

15 112 REINHARD NABBEN AND DANIEL B. SZYLD heorem 7.2 ndcates that the more overlap there s, the faster the convergence of the algebrac addtve Schwarz method. As a specal case, we have that overlap s better than no overlap. hs s consstent wth the analyss for grd-based methods; see, e.g., [4], [41]. Of course, the faster convergence rate brngs an assocated ncreased cost of the local solvers, snce now they have matrces of larger dmenson and more nonzeros. In the cted references a small amount of overlap s recommended, and the ncrease n cost s usually offset by faster convergence. We should menton that wth an ncrease of overlap, the number of colors of the graph may decrease, so that the dampng factor may need to be revsed. In all cases, the maxmum restrcton s <1/p. A comparson analogous to that of heorem 7.2 s not vald for multplcatve Schwarz, not even n the defnte case. A counterexample can be found n [40]. 8. Varyng the number of blocks. We address here the followng queston: If we partton a block nto smaller blocks, how s the convergence of the Schwarz method affected? We show that for the addtve Schwarz method the more subblocks (subdomans), the slower the convergence. In a lmtng case, f we have a sngle varable n each block and there s no overlap, ths s the classc Jacob method, and our results ndcate that ths has asymptotcally slower convergence than any sets of blocks for addtve Schwarz. As n the stuatons descrbed n sectons 6 and 7, the slower convergence may be partally compensated by less expensve local solvers, snce they are of smaller dmenson. Formally, consder each block of varables S parttoned nto k subblocks;.e., we have (8.1) S j S, j =1,...,k, k j=1 S j = S, and S j S k = f j k. Each set S j has assocated matrces R j and E j = R j R j. Snce we have a partton, (8.2) E j E, j =1,...,k, and k E j j=1 = E,,...,p. We defne the matrces A j = R j AR j, and M j correspondng to the set S j n the manner already famlar to the reader (see, e.g., (7.3)), so that E j M j = R j A j R j,j=1,...,k,,...,p. Gven a fxed dampng parameter, the teraton matrx of the refned partton s then (8.3) = I k E j M j A j=1 (cf. (2.4)), and an nduced strong P -splttng (assumng the proper restrcton on ) A = M N s gven by M = k E j M j. j=1

16 SCHWARZ FOR SEMIDEFINIE SYSEMS 113 heorem 8.1. Let A be a symmetrc postve semdefnte matrx such that each prncpal submatrx s postve defnte. Let b R(A) and x 0 / N(A). Consder two sets of subblocks of A defned by (2.11) and (8.1), respectvely, and the two correspondng addtve Schwarz teratons defned by (2.4) and (8.3). Let k = max k, and let the dampng factors be 1/p, and = /k 1/(kp). hs mples that n partcular the addtve Schwarz methods are convergent. hen, γ( ) γ( ). Proof. As n the proof of heorem 7.2 we have, usng Lemma 7.1, that Q j = E j M j Q = E M. herefore, k j=1 Q j k Q, and M = k j=1 Q j k Q = km, M M whch s equvalent to =(1/k) M. he theorem now follows usng heorem 3.6 and the fact that these are strong P -regular splttngs, as shown n Remark 4.3. As n the prevous sectons a comparson analogous to that of heorem 8.1 s not vald for multplcatve Schwarz, not even n the defnte case. Agan, a counterexample can be found n [40]. 9. wo-level schemes. We consder now two-level schemes,.e., those n whch an addtonal step s taken, correspondng to a coarse grd correcton. In the nonsngular case, ths addtonal step makes Schwarz methods optmal n the sense that the condton number of the precondtoned matrx M A s ndependent of the mesh sze; see, e.g., [38], [41], [44]. In our settng, for the coarse grd correcton consder an addtonal subspace V 0 of V, and the correspondng projecton P 0 = R0 A 0 R 0A = R0 (R 0 AR0 ) R 0 A. here are several cases we consder here: addtve Schwarz wth coarse grd correcton, wth teraton matrx gven by (9.1) ASc, = AS, R 0 A 0 R 0A = I =0 R A R A = I P ; multplcatve Schwarz wth coarse grd correcton, wth teraton matrx gven by MSc = MS (I P 0 )= 0 (I P ), or n the symmetrzed case by SMSc =(I P 0 ) SMS (I P 0 ); multplcatve Schwarz addtvely corrected, known as the two-level hybrd I Schwarz method, wth teraton matrx gven by H I, = I P 0 (I MS )=I (G 0 + M MS )A, where G 0 = R0 A 0 R 0; and the two-level hybrd II Schwarz method, whch s addtve Schwarz multplcatvely corrected, wth teraton matrx gven by =p H II, = AS, (I P 0 ). We begn our analyss wth the addtve Schwarz teraton wth coarse grd correcton. By comparng the teraton matrces n (9.1) and (2.4), one can see that =0

17 114 REINHARD NABBEN AND DANIEL B. SZYLD heorem 4.2 s vald n ths case as well, wth the excepton that the dampng factor needs to be less than 2/(p + 1). herefore we have that the matrx ASc, s a convergent matrx, and that the nduced splttng defned by M ASc, = p =0 R A R s P -regular. We can also show that coarse grd correcton does not ncrease (and may decrease) the convergence factor of the teratons. heorem 9.1. Let A be a symmetrc postve semdefnte matrx such that each prncpal submatrx s postve defnte. hen γ( ASc, ) γ( AS, ). Proof. We use the fact that G 0 = R0 A 0 R 0 0 to conclude that M ASc, = (MAS + G 0) M AS. he theorem now follows by the applcaton of heorem 3.6. A characterzaton smlar to (4.4) apples to ths two-level method, wth one more term n the sum. hus, an alternatve proof of ths theorem usng ths characterzaton can be done n a manner smlar to that n Remark 6.2. Next, we consder the multplcatve Schwarz teratons wth coarse grd correcton. It s not hard to see that heorem 5.2 apples to ths case as well, so that MSc and SMSc are convergent. We conclude by mentonng that the coarse grd correctons can be appled to the methods wth nexact solvers descrbed n secton 6 as well, and snce the analyss s very smlar, we do not repeat t. Acknowledgments. We thank Mchele Benz and the referees for ther comments on an earler verson of ths paper, whch helped mprove our presentaton. REFERENCES [1] M. Benz, A. Frommer, R. Nabben, and D. B. Szyld, Algebrac theory of multplcatve Schwarz methods, Numer. Math., 89 (2001), pp [2] M. Benz and D. B. Szyld, Exstence and unqueness of splttngs for statonary teratve methods wth applcatons to alternatng methods, Numer. Math., 76 (1997), pp [3] A. Berman and R. J. Plemmons, Nonnegatve Matrces n the Mathematcal Scences, Classcs Appl. Math. 9, SIAM, Phladelpha, [4] P. E. Bjørstad and O. B. Wdlund, o overlap or not to overlap: A note on a doman decomposton method for ellptc problems, SIAM J. Sc. Statst. Comput., 10 (1989), pp [5] P. Bochev and R. B. Lehoucq, On the fnte element soluton of the pure Neumann problem, SIAM Rev., 47 (2005), pp [6] J. H. Bramble, J. E. Pascak, and A.. Vasslev, Analyss of non-overlappng doman decomposton algorthms wth nexact solves, Math. Comp., 67 (1998), pp [7] R. Bru, F. Pedroche, and D. B. Szyld, Addtve Schwarz teratons for Markov chans, SIAM J. Matrx Anal. Appl., 27 (2005), pp [8]. F. Chan and. P. Mathew, Doman decomposton algorthms, n Acta Numerca 1994, Acta Numer., Cambrdge Unversty Press, Cambrdge, UK, 1994, pp [9] J.-J. Clment and C. Perea, Some comparson theorems for weak nonnegatve splttngs of bounded operators, Lnear Algebra Appl., (1998), pp [10] G. Csordas and R. S. Varga, Comparsons of regular splttngs of matrces, Numer. Math., 44 (1984), pp [11] M. Dryja, An addtve Schwarz algorthm for two- and three-dmensonal fnte element problems, n Proceedngs of the Second Internatonal Symposum on Doman Decomposton Methods for Partal Dfferental Equatons,. F. Chan, R. Glownsk, G. A. Meurant, J. Pèraux, and O. B. Wdlund, eds., SIAM, Phladelpha, 1989, pp [12] M. Dryja and O. B. Wdlund, An addtve varant of the Schwarz alternatng method for the case of many subregons, echncal Report 339, Ultracomputer Note 131, Department of Computer Scence, Courant Insttute, New York Unversty, New York, NY, 1987.

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