Convergence of the Conjugate Gradient Method on Singular Systems

Publication date: 4 September 2018

Abstract: We analyze the convergence of the Conjugate Gradient (CG) method in exact arithmetic, when the coefficient matrix

A

is symmetric positive semidefinite and the system is consistent. To do so, we diagonalize

A

and decompose the algorithm into the range and the null space components of

A

. Further, we apply the analysis to the CGLS and CGNE (CG Normal Error) methods for rank-deficient least squares problems.

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