The Bayesian Conjugate Gradient method (BayesCG) is a probabilistic
generalization of the Conjugate Gradient method (CG) for solving linear systems
with real symmetric positive definite coefficient matrices. We present a
CG-based implementation of BayesCG with a structure-exploiting prior
distribution. The BayesCG output consists of CG iterates and posterior
covariances that can be propagated to subsequent computations. The covariances
are low-rank and maintained in factored form. This allows easy generation of
accurate samples to probe uncertainty in subsequent computations. Numerical
experiments confirm the effectiveness of the posteriors and their low-rank
approximations.Comment: 31 Pages including supplementary material (main paper is 22 pages,
supplement is 9 pages). Computer codes are available at
https://github.com/treid5/ProbNumCG_Sup