Properties of semi-conjugate gradient methods for solving unsymmetric positive definite linear systems

Abstract

The conjugate gradient (CG) method is a classic Krylov subspace method for solving symmetric positive definite linear systems. We analyze an analogous semi-conjugate gradient (SCG) method, a special case of the existing semi-conjugate direction (SCD) methods, for unsymmetric positive definite linear systems. Unlike CG, SCG requires the solution of a lower triangular linear system to produce each semi-conjugate direction. We prove that SCG is theoretically equivalent to the full orthogonalization method (FOM), which is based on the Arnoldi process and converges in a finite number of steps. Because SCG's triangular system increases in size each iteration, Dai and Yuan [Study on semi-conjugate direction methods for non-symmetric systems, Int. J. Numer. Meth. Eng. 60(8) (2004), pp. 1383–1399] proposed a sliding window implementation (SWI) to improve efficiency. We show that the directions produced are still locally semi-conjugate. A counter-example illustrates that SWI is different from the direct incomplete orthogonalization method (DIOM), which is FOM with a sliding window. Numerical experiments from the convection-diffusion equation and other applications show that SCG is robust and that the sliding window implementation SWI allows SCG to solve large systems efficiently.