The Krylov Subspaces, Low Rank Approximations and Ritz Values of LSQR for Linear Discrete Ill-Posed Problems: the Multiple Singular Value Case (2003.09259v1)

Abstract: For the large-scale linear discrete ill-posed problem $\min|Ax-b|$ or $Ax=b$ with $b$ contaminated by white noise, the Golub-Kahan bidiagonalization based LSQR method and its mathematically equivalent CGLS, the Conjugate Gradient (CG) method applied to $A^TAx=A^Tb$, are most commonly used. They have intrinsic regularizing effects, where the iteration number $k$ plays the role of regularization parameter. The long-standing fundamental question is: {\em Can LSQR and CGLS find 2-norm filtering best possible regularized solutions}? The author has given definitive answers to this question for severely and moderately ill-posed problems when the singular values of $A$ are simple. This paper extends the results to the multiple singular value case, and studies the approximation accuracy of Krylov subspaces, the quality of low rank approximations generated by Golub-Kahan bidiagonalization and the convergence properties of Ritz values. For the two kinds of problems, we prove that LSQR finds 2-norm filtering best possible regularized solutions at semi-convergence. Particularly, we consider some important and untouched issues on best, near best and general rank $k$ approximations to $A$ for the ill-posed problems with the singular values $\sigma_k=\mathcal{O}(k^{-\alpha})$ with $\alpha>0$, and the relationships between them and their nonzero singular values. Numerical experiments confirm our theory. The results on general rank $k$ approximations and the properties of their nonzero singular values apply to several Krylov solvers, including LSQR, CGME, MINRES, MR-II, GMRES and RRGMRES.