The inverse fast multipole method: using a fast approximate direct solver as a preconditioner for dense linear systems (1508.01835v2)

Abstract: Although some preconditioners are available for solving dense linear systems, there are still many matrices for which preconditioners are lacking, in particular in cases where the size of the matrix $N$ becomes very large. There remains hence a great need to develop general purpose preconditioners whose cost scales well with the matrix size $N$. In this paper, we propose a preconditioner with broad applicability and with cost $\mathcal{O}(N)$ for dense matrices, when the matrix is given by a smooth kernel. Extending the method using the same framework to general $\mathcal{H}^2$-matrices is relatively straightforward. These preconditioners have a controlled accuracy (machine accuracy can be achieved if needed) and scale linearly with $N$. They are based on an approximate direct solve of the system. The linear scaling of the algorithm is achieved by means of two key ideas. First, the $\mathcal{H}^2$-structure of the dense matrix is exploited to obtain an extended sparse system of equations. Second, fill-ins arising when performing the elimination are compressed as low-rank matrices if they correspond to well-separated interactions. This ensures that the sparsity pattern of the extended sparse matrix is preserved throughout the elimination, hence resulting in a very efficient algorithm with $\mathcal{O}(N \log(1/\varepsilon)^2 )$ computational cost and $\mathcal{O}(N \log 1/\varepsilon )$ memory requirement, for an error tolerance $0 < \varepsilon < 1$. The solver is inexact, although the error can be controlled and made as small as needed. These solvers are related to ILU in the sense that the fill-in is controlled. However, in ILU, most of the fill-in is simply discarded whereas here it is approximated using low-rank blocks, with a prescribed tolerance. Numerical examples are discussed to demonstrate the linear scaling of the method and to illustrate its effectiveness as a preconditioner.