Modified conjugate gradient method for the solution of \(Ax=b\) (Q1281489): Difference between revisions

To solve \(Ax=b\) (\(A\) is a symmetric positive definite matrix) by the classical conjugate gradient method, the solution \(x_k\) in the \(k\)th step is obtained by minimizing \(\| x-x_k\| _A\) for \(x_k\in K_k(A,b) =\text{span}\{b,Ab,\ldots,A^{k-1}b\}\) where \(\| x\| _A^2=(x,Ax)\). The error can be estimated in terms of \(\kappa(A)\), the condition number of \(A\). In this paper, it is proposed to solve the system by minimizing over the Krylov subspace \(K_k(\sqrt{A},b)\). Then the error can be bounded in terms of \(\kappa(\sqrt{A})\), which is smaller and hence gives a better rate of convergence. It is shown that, once \(b\) and \(\sqrt{A}b\) are computed, then the iterates are given by a short recurrence relation (as in the classical case) which requires only one \(A\)-multiplication per iteration step.