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Iteratively Constructing Preconditionersvia the Conjugate Gradient Method

By Nicholas J. A. Harveymit


ABSTRACT We consider the problem of solving a symmetric, positive definite system of linear equations. The most well-known and widely-used method for solving such systems is the preconditioned Conjugate Gradient method. The performance of this method depends crucially on knowing a good preconditioner matrix. We show that the Conjugate Gradient method itself can produce good preconditioners as a by-product. These preconditioners allow us to derive new asymptotic bounds on the time to solve multiple related linear systems. Categories and Subject Descriptors G.1.3 [Numerical Analysis]: Numerical Linear Algebra-- Linear systems (direct and iterative methods

Topics: General Terms Algorithms, Theory Keywords Conjugate Gradient Method, Preconditioning
Year: 2009
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