Improve BiCGSTAB robustness: fix a divide by zero and allow to restart with a new initial residual reference.

1 files changed, 18 insertions, 6 deletions

diff --git a/Eigen/src/IterativeLinearSolvers/BiCGSTAB.h b/Eigen/src/IterativeLinearSolvers/BiCGSTAB.h
index fbefb696f..048d59170 100644
--- a/Eigen/src/IterativeLinearSolvers/BiCGSTAB.h
+++ b/Eigen/src/IterativeLinearSolvers/BiCGSTAB.h
@@ -43,8 +43,9 @@ bool bicgstab(const MatrixType& mat, const Rhs& rhs, Dest& x,
   VectorType r  = rhs - mat * x;
   VectorType r0 = r;
   
-  RealScalar r0_sqnorm = rhs.squaredNorm();
-  if(r0_sqnorm == 0)
+  RealScalar r0_sqnorm = r0.squaredNorm();
+  RealScalar rhs_sqnorm = rhs.squaredNorm();
+  if(rhs_sqnorm == 0)
   {
     x.setZero();
     return true;
@@ -61,13 +62,22 @@ bool bicgstab(const MatrixType& mat, const Rhs& rhs, Dest& x,
 
   RealScalar tol2 = tol*tol;
   int i = 0;
+  int restarts = 0;
 
-  while ( r.squaredNorm()/r0_sqnorm > tol2 && i<maxIters )
+  while ( r.squaredNorm()/rhs_sqnorm > tol2 && i<maxIters )
   {
     Scalar rho_old = rho;
 
     rho = r0.dot(r);
-    if (rho == Scalar(0)) return false; /* New search directions cannot be found */
+    if (internal::isMuchSmallerThan(rho,r0_sqnorm))
+    {
+      // The new residual vector became too orthogonal to the arbitrarily choosen direction r0
+      // Let's restart with a new r0:
+      r0 = r;
+      r0_sqnorm = rho = r0.dot(r);
+      if(restarts++ == 0)
+        i = 0;
+    }
     Scalar beta = (rho/rho_old) * (alpha / w);
     p = r + beta * (p - w * v);
     
@@ -81,12 +91,14 @@ bool bicgstab(const MatrixType& mat, const Rhs& rhs, Dest& x,
     z = precond.solve(s);
     t.noalias() = mat * z;
 
-    w = t.dot(s) / t.squaredNorm();
+    w = t.squaredNorm();
+    if(w>RealScalar(0))
+      w = t.dot(s) / t.squaredNorm();
     x += alpha * y + w * z;
     r = s - w * t;
     ++i;
   }
-  tol_error = sqrt(r.squaredNorm()/r0_sqnorm);
+  tol_error = sqrt(r.squaredNorm()/rhs_sqnorm);
   iters = i;
   return true; 
 }