On error estimation in the conjugate gradient method and why it works in finite precision computations (Q1866487): Difference between revisions

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Latest revision as of 05:00, 5 March 2024

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On error estimation in the conjugate gradient method and why it works in finite precision computations
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    On error estimation in the conjugate gradient method and why it works in finite precision computations (English)
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    16 December 2003
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    The authors show that the lower bound for the \(A\)-norm of the error based on Gauss quadrature is mathematically equivalent to the original formula of \textit{M. R. Hestenes} and \textit{E. Stiefel} [J. Res. Natl. Bur. Stand. 49, 409-435 (1952; Zbl 0048.09901)]. Existing bounds are compared and the authors demonstrate the necessity of a proper roundoff error analysis with an example of the well-known bound that fails in finite precision arithmetic. The numerical stability of the simplest bound is proved. In addition a lower bound for the Euclidean norm is described. The results are illustrated by numerical examples.
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    conjugate gradient method
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    Gauss quadrature
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    convergence
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    error bounds
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    finite precision arithmetic
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    rounding errors
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    loss of orthogonality
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    numerical stability
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    numerical examples
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