Introduction to Numerical Analysis I

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# Introduction to Numerical Analysis I - PowerPoint PPT Presentation

Introduction to Numerical Analysis I. Conjugate Gradient Methods. MATH/CMPSC 455. A-Orthogonal Basis. form a basis of , where is the i-th row of the identity matrix. They are orthogonal in the following sense:.

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### Introduction to Numerical Analysis I

MATH/CMPSC 455

A-Orthogonal Basis

form a basis of , where

is the i-th row of the identity matrix. They are orthogonal in the following sense:

Introduce a set of nonzero vectors ,

They satisfy the following condition:

We say they are A-orthogonal, or conjugate w.r.t A.

They are linearly independent, and form a basis.

Conjugate Direction Method

Theorem: For any initial guess, the sequence generated by the above iterative method, converges to the solution of the linear system in at most n iterations.

Question: How to find the A-orthogonal bases?

Each conjugate direction is chosen to be a linear combination of the residual and the previous direction

Conjugate direction method on this particular basis.

CG (Original Version)

While

End While

Theorem: Let A be a symmetric positive-definite matrix. In the Conjugate Gradient Method, we have

CG (Practical Version)

While

End While