An efficient implementation of the block Gram--Schmidt method

The block Gram--Schmidt method computes the QR factorisation rapidly, but this is dependent on block size \(m\). We endeavor to determine the optimal \(m\) automatically during one execution. Our algorithm determines \(m\) through observing the relationship between computation time and complexity. Numerical experiments show that our proposed algorithms compute approximately twice as fast as the block Gram--Schmidt method for some block sizes, and is a viable option for computing the QR factorisation in a more stable and rapid manner. References Bjorck, A., Numerical Methods for Least Squares Problems, SIAM, (1996). Elden, L., and Park, H., Block Downdating of Least Squares Solutions, SIAM J. Matrix Anal. Appl., 15:1018--1034 (1994). doi:10.1137/S089547989223691X Runger, G., and Schwind, M., Comparison of Different Parallel Modified Gram--Schmidt Algorithms, Euro-Par 2005, LNCS 3648:826--836 (2005). doi:10.1007/11549468_90 Katagiri, T., Performance Evaluation of Parallel Gram--Schmidt Re-orthogonalization Methods, VECPAR 2002, LNCS 2565:302--314 (2003). doi:10.1007/3-540-36569-9_19 Matrix Market, Mathematical and Computational Sciences Division, Information Technology Laboratory of the National Institute of Standards and Technology, USA. http://math.nist.gov/MatrixMarket/ Matsuo, Y. and Nodera, T., The Optimal Block-Size for the Block Gram--Schmidt Orthogonalization, J. Sci. Tech, 49:348--354 (2011). Moriya, K. and Nodera, T., The DEFLATED-GMRES(m, k) Method with Switching the Restart Frequency Dynamically, Numer. Linear Alg. Appl., 7:569--584 (2000). doi:10.1002/1099-1506(200010/12)7:7/8<569::AID-NLA213>3.0.CO;2-8 Moriya, K. and Nodera, T., Usage of the convergence test of the residual norm in the Tsuno--Nodera version of the GMRES algorithm, ANZIAM J., 49:293--308 (2007). doi:10.1017/S1446181100012852 Liu, Q., Modified Gram--Schmidt-based Methods for Block Downdating the Cholesky Factorization, J. Comput. Appl. Math., 235:1897--1905 (2011). doi:10.1016/j.cam.2010.09.003 Saad, Y. and Schultz, M. H., GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems, SIAM J. Sci. Stat. Comput., 7:856--869 (1986). doi:10.1137/0907058 Shiroishi, J. and Nodera, T., A GMRES($m$) Method with Two Stage Deflated Preconditioners, ANZIAM J., 52:C222--C236 (2011). http://journal.austms.org.au/ojs/index.php/ANZIAMJ/article/view/3984 Leon, S. J., Bjorck, A., and Gander, W., Gram--Schmidt Orthogonalization: 100 years and more, Numer. Linear Algebra Appl., 20:492--532 (2013). doi:10.1002/nla.1839 Stewart, G. W., Block Gram--Schmidt Orthogonalization, SIAM J. Sci. Comput., 31:761--775 (2008). doi:10.1137/070682563 Vanderstraeten, D., An Accurate Parallel Block Gram-Schmidt Algorithm without Reorthogonalization, Numer. Lin. Alg. Appl., 7:219--236 (2000). doi:10.1002/1099-1506(200005)7:4<219::AID-NLA196>3.0.CO;2-L Yokozawa, T., Takahashi, T., Boku, T. and Sato, M., Efficient Parallel Implementation of Classical Gram-Schmidt Orthogonalization Using Matrix Multiplication, (in Japanese) Information Processing Society of Japan (IPSJ), Computing System, 1:61--72 (2008)