Newton–Raphson preconditioner for Krylov type solvers on GPU devices

Abstract

A new Newton–Raphson method based preconditioner for Krylov type linear equation solvers for GPGPU is developed, and the performance is investigated. Conventional preconditioners improve the convergence of Krylov type solvers, and perform well on CPUs. However, they do not perform well on GPGPUs, because of the complexity of implementing powerful preconditioners. The developed preconditioner is based on the BFGS Hessian matrix approximation technique, which is well known as a robust and fast nonlinear equation solver. Because the Hessian matrix in the BFGS represents the coefficient matrix of a system of linear equations in some sense, the approximated Hessian matrix can be a preconditioner. On the other hand, BFGS is required to store dense matrices and to invert them, which should be avoided on modern computers and supercomputers. To overcome these disadvantages, we therefore introduce a limited memory BFGS, which requires less memory space and less computational effort than the BFGS. In addition, a limited memory BFGS can be implemented with BLAS libraries, which are well optimized for target architectures. There are advantages and disadvantages to the Hessian matrix approximation becoming better as the Krylov solver iteration continues. The preconditioning matrix varies through Krylov solver iterations, and only flexible Krylov solvers can work well with the developed preconditioner. The GCR method, which is a flexible Krylov solver, is employed because of the prevalence of GCR as a Krylov solver with a variable preconditioner. As a result of the performance investigation, the new preconditioner indicates the following benefits: (1) The new preconditioner is robust; i.e., it converges while conventional preconditioners (the diagonal scaling, and the SSOR preconditioners) fail. (2) In the best case scenarios, it is over 10 times faster than conventional preconditioners on a CPU. (3) Because it requries only simple operations, it performs well on a GPGPU. In addition, the research has confirmed that the new preconditioner improves the condition of matrices from a mathematical point of view by calculating the condition numbers of preconditioned matrices, as anticipated by the theoretical analysis.