Incomplete Cholesky preconditioners based on orthogonal dropping : theory and practice


Incomplete Cholesky factorizations are commonly used as black-box preconditioners for the iterative solution of large sparse symmetric positive definite linear systems. Traditionally, incomplete 
factorizations are obtained by dropping (i.e., replacing by zero) some entries of the factors during the factorization process. Here we consider a less common way to approximate the factors : through low-rank approximations of some off-diagonal blocks. We focus more specifically on approximation schemes that satisfy the orthogonality condition: the approximation should be orthogonal to the corresponding approximation error.

The resulting incomplete Cholesky factorizations have attractive theoretical properties. First, the underlying factorization process can be shown breakdown-free. Further, the condition number of the 
preconditioned system, that characterizes the convergence rate of standard iterative schemes, can be shown bounded as a function of the accuracy of individual approximations. Hence, such a bound can benefit from better approximations, but also from some algorithmic peculiarities. Eventually, the above results can be shown to hold for any symmetric positive definite system matrix.

On the practical side, we consider a particular variant of the preconditioner. It relies on a nested dissection ordering of unknowns to  insure an attractive memory usage and operations count. Further, it exploits in an algebraic way the low-rank structure present in system matrices that arise from PDE discretizations. A preliminary implementation of the method is compared with similar Cholesky and 
incomplete Cholesky factorizations based on dropping of individual entries.

  • Computational Mathematics and Applications Seminar