Slide 46
Slide 46 text
Symmetric linear system:
Initialization: x
(0) 2 RN
, r
(0) =
b Ax
(0)
, p
(0) =
r
(0)
r
(k) =
hrE(
x
(k))
, d
(k)i
h
Ad
(k)
, d
(k)i
d
(k) = rE(
x
(k)) +
||
v
(k)||
||
v
(k 1)||d
(k 1)
v
(k) = rE(
x
(k)) =
Ax
(k)
b
x
(k+1) =
x
(k)
r
(k)
d
(k)
Iterations:
x
(k+1) = argmin E(
x
)
s.t.
x x
(k) 2 span(rE(
x
(0))
, . . . ,
rE(
x
(k)))
Intuition:
Conjugate Gradient
Ax
=
b
() min
x
2Rn
E(
x
) =
1
2
h
Ax, x
i h
x, b
i
Proposition:
8
` < k,
hrE(
x
k)
,
rE(
x
`)i = 0