Conjugate gradient method of Golub and van Loan
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Conjugate gradient method
Conjugate gradient method could be summarized as follows
System of equation
For the given system of equation
Ax = b ;
b = source vector
x = solution variable for which we seek the solution
A = coefficient matrix
M = the precondioning matrix constructued by matrix A
Algorithm
- Allocate temperary vectors p,z,q
- Allocate temerary reals rho_0, rho_1 , alpha, beta
-
- r := b - A
x
-
- for i := 1 step 1 until max_itr do
- solve (M
z = r )
- beta := rho_0 / rho_1
- p := z + beta
p
- q := A
p
- alpha = rho_0 / ( p
q )
- x := x + alpha
p
- r := r - alpha
q
- rho_1 = rho_0
- solve (M
- end (i-loop)
-
- deallocate all temp memory
- return TRUE
Reference
Ferziger, J.H. and Peric, M. 2002. "Computational Methods for Fluid Dynamics", 3rd rev. ed., Springer-Verlag, Berlin.