Multi-preconditioned GMRES

An extension of GMRES which allows the use of multiple preconditioners.

When solving linear systems of equations using standard Krylov subspace methods, the user is only allowed to choose a single preconditioner, although in many situations there may be a number of possibilities. Here we provide an extension of GMRES, multi-preconditioned GMRES (MPGMRES), which allows the use of more than one preconditioner.

This code is based on the algorithm described in the manuscript:

Greif, C., Rees, T., Szyld, D. B., GMRES with multiple preconditioners

Also available as UBC technical report: UBC CS TR-2011-12, or Temple Math. report 11-12-23.