The convergence rate of iterative methods
depends on spectral properties of the coefficient matrix. Hence one
may attempt to transform the linear system into one that is equivalent
in the sense that it has the same solution, but that has more
favorable spectral properties. A *preconditioner* is a matrix
that effects such a transformation.

For instance, if a matrix approximates the coefficient matrix in some way, the transformed system

has the same solution as the original system , but the spectral properties of its coefficient matrix may be more favorable.

In devising a preconditioner, we are faced with a choice between finding a matrix that approximates , and for which solving a system is easier than solving one with , or finding a matrix that approximates , so that only multiplication by is needed. The majority of preconditioners falls in the first category; a notable example of the second category will be discussed in §.

Mon Nov 20 08:52:54 EST 1995