Multilevel Preconditioners for Boundary Lagrange Multipliers

Janne Martikainen, Tuomo Rossi and Jari Toivanen

Department of Mathematical Information Technology, University of Jyväskylä,
P.O. Box 35 (Agora), FIN-40351 Jyväskylä, Finland


By embedding the original elliptic boundary value problem into a larger simple-shaped domain and treating the Dirichlet boundary conditions by using boundary Lagrange multipliers, the discretization and efficient solution can become much easier. The generation of hierarchical meshes required by the traditional multigrid methods for complicated domains can be very difficult or even impossible. Furthermore, it much easier to make fast cache aware multigrid implementations for simple-shaped domains like rectangles. The use of Lagrange multipliers leads to saddle-point problems which are here assumed to be symmetric. Such problems can be solved using a preconditioned MINRES method. A simple and natural idea is to construct separate preconditioners for primal variables and Lagrange multipliers. Thus, the overall preconditioner has a block diagonal form. The preconditioner for the primal variables can be based on any symmetric multigrid method or, for example, on fast direct solvers. It is well-known that a good preconditioner for the Lagrange multipliers should approximate the Schur complement of the diagonal block for primal variables in the saddle-point matrix. One family of such preconditioners are based on the square root of a boundary operator, but they are not robust with respect to the geometry of domain. Furthermore, usual implementations based on FFT can not be used for three-dimensional problems.

Here, preconditioners for Lagrange multipliers based on multilevel techniques for Poisson-like problems are proposed. More precisely, the employed techniques are the multilevel nodal basis (BPX) and multilevel diagonal scaling (MDS) preconditioners. The idea is to approximate the Schur complement using these techniques and then perform the multiplication by its inverse by using a suitable iterative method. The implementation must take an advantage of sparsity of vectors in the different levels of multilevel preconditioners in order to be affordable. To implement such a sparse version of BPX or MDS might seem to be difficult, but in practice it is rather easy and straightforward task. A natural assumption is that the number of Lagrange multipliers is the order of square root of N for two-dimensional problems and the order of square of cubic root of N for three-dimensional problems, where N denotes the number of primal variables. In this case, a simple analysis shows that the computational cost of approximating the Schur complement using BPX or MDS requires the same order of floating point operations as the number of Lagrange multipliers is. Furthermore, based on a simple condition number estimation it can be shown that the number of CG or Chebyshev iterations required to perform a multiplication by the inverse of the Schur complement approximation is the order of square root of N for two-dimensional problems and the order of cubic root of N for three-dimensional problems. Thus, the total computational cost of applying Lagrange preconditioner once is the order of N.

In the numerical experiments, the efficiency of proposed approach is studied for two-dimensional and three-dimensional Poisson and diffusion problems. The number of iterations and the condition number for several problems are given. Also, the capability to solve easily problems in very complicated domains is demonstrated.