SolutionBasedSolver

class probnum.linalg.SolutionBasedSolver(A, b, x0=None)[source]

Bases: probnum.linalg.ProbabilisticLinearSolver

Solver iteration of BayesCG.

Implements the solve iteration of the solution-based solver BayesCG 1.

Parameters
  • A (array-like or LinearOperator or RandomVariable, shape=(n,n)) – The square matrix or linear operator of the linear system.

  • b (array_like, shape=(n,) or (n, nrhs)) – Right-hand side vector or matrix in \(A x = b\).

References

1

Cockayne, J. et al., A Bayesian Conjugate Gradient Method, Bayesian Analysis, 2019, 14, 937-1012

Methods Summary

has_converged(iter, maxiter[, resid, atol, rtol])

Check convergence of a linear solver.

solve([callback, maxiter, atol, rtol])

Solve the linear system \(Ax=b\).

Methods Documentation

has_converged(iter, maxiter, resid=None, atol=None, rtol=None)[source]

Check convergence of a linear solver.

Evaluates a set of convergence criteria based on its input arguments to decide whether the iteration has converged.

Parameters
  • iter (int) – Current iteration of solver.

  • maxiter (int) – Maximum number of iterations

  • resid (array-like) – Residual vector \(\lVert r_i \rVert = \lVert Ax_i - b \rVert\) of the current iteration.

  • atol (float) – Absolute residual tolerance. Stops if \(\lVert r_i \rVert < \text{atol}\).

  • rtol (float) – Relative residual tolerance. Stops if \(\lVert r_i \rVert < \text{rtol} \lVert b \rVert\).

Returns

  • has_converged (bool) – True if the method has converged.

  • convergence_criterion (str) – Convergence criterion which caused termination.

solve(callback=None, maxiter=None, atol=None, rtol=None)[source]

Solve the linear system \(Ax=b\).

Parameters
  • callback (function, optional) – User-supplied function called after each iteration of the linear solver. It is called as callback(xk, Ak, Ainvk, sk, yk, alphak, resid, **kwargs) and can be used to return quantities from the iteration. Note that depending on the function supplied, this can slow down the solver.

  • kwargs – Key-word arguments adjusting the behaviour of the solve iteration. These are usually convergence criteria.

Returns

  • x (RandomVariable, shape=(n,) or (n, nrhs)) – Approximate solution \(x\) to the linear system. Shape of the return matches the shape of b.

  • A (RandomVariable, shape=(n,n)) – Posterior belief over the linear operator.

  • Ainv (RandomVariable, shape=(n,n)) – Posterior belief over the linear operator inverse \(H=A^{-1}\).

  • info (dict) – Information on convergence of the solver.