Stopping Criteria

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Stopping Criteria

Stopping criterion: Since an iterative method computes successive approximations to the solution of a linear system, a practical test is needed to determine when to stop the iteration. Ideally this test would measure the distance of the last iterate to the true solution, but this is not possible. Instead, various other metrics are used, typically involving the residual. Forward error: The difference between a computed iterate and the true solution of a linear system, measured in some vector norm. Backward error: The size of perturbations of the coefficient matrix and of the right hand side of a linear system, such that the computed iterate is the solution of .

An iterative method produces a sequence of vectors converging to the vector satisfying the system . To be effective, a method must decide when to stop. A good stopping criterion should

1. identify when the error is small enough to stop,
2. stop if the error is no longer decreasing or decreasing too slowly, and
3. limit the maximum amount of time spent iterating.

For the user wishing to read as little as possible, the following simple stopping criterion will likely be adequate. The user must supply the quantities , , stop_tol, and preferably also :

• The integer is the maximum number of iterations the algorithm will be permitted to perform.
• The real number is a norm of . Any reasonable (order of magnitude) approximation of the absolute value of the largest entry of the matrix will do.
• The real number is a norm of . Again, any reasonable approximation of the absolute value of the largest entry of will do.
• The real number stop_tol measures how small the user wants the residual of the ultimate solution to be. One way to choose stop_tol is as the approximate uncertainty in the entries of and relative to and , respectively. For example, choosing stop_tol means that the user considers the entries of and to have errors in the range and , respectively. The algorithm will compute no more accurately than its inherent uncertainty warrants. The user should choose stop_tol less than one and greater than the machine precision .

Here is the algorithm:

Note that if does not change much from step to step, which occurs near convergence, then need not be recomputed. If is not available, the stopping criterion may be replaced with the generally stricter criterion

In either case, the final error bound is . If an estimate of is available, one may also use the stopping criterion

which guarantees that the relative error in the computed solution is bounded by stop_tol.

Next: More Details about Up: Related Issues Previous: Complex Systems

Jack Dongarra
Mon Nov 20 08:52:54 EST 1995