On Efficient Numerical Approximation of the Bilinear Form $c^*A^{-1}b$

• Authors: Zdeněk Strakoš;Petr Tichý
• Venue: SIAM Journal on Scientific Computing
• Year: 2011

Let $A\in\mathbb{C}^{N\times N}$ be a nonsingular complex matrix and $b$ and $c$ be complex vectors of length $N$. The goal of this paper is to investigate approaches for efficient approximations of the bilinear form $c^*A^{-1}b$. Equivalently, we wish to approximate the scalar value $c^*x$, where $x$ solves the linear system $Ax=b$. Here the matrix $A$ can be very large or its elements can be too costly to compute so that $A$ is not explicitly available and it is used only in the form of the matrix-vector product. Therefore a direct method is not an option. For $A$ Hermitian positive definite, $b^*A^{-1}b$ can be efficiently approximated as a by-product of the conjugate-gradient iterations, which is mathematically equivalent to the matching moment approximations computed via the Gauss-Christoffel quadrature. In this paper we propose a new method using the biconjugate gradient iterations which is applicable to the general complex case. The proposed approach will be compared with existing ones using analytic arguments and numerical experiments.