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Turkish Journal of Computer and Mathematics Education Vol.12 No.

14 (2021), 5854-5865
Research Article

Conjugate Gradient Method for System of Linear Algebraic


Equations

Salah Gazi Shareef 1, *, Diman Abdulqader Sulaiman 2


1
Department of Mathematic, Faculty of Science, University of Zakho, Zakho,
Kurdistan Region, Iraq
Email address: [email protected]
Email address: [email protected]

Abstract
The Conjugate Gradient Method is an iterative technique for solving large sparse systems
of linear equations. As a linear algebra and matrix manipulation technique, it is a useful
tool in approximating solutions to linearized partial differential equations. The
fundamental concepts are introduced and utilized as the foundation for the derivation of
the Conjugate Gradient Method.

Keywords:Conjugate Gradient Method,System of Linear Algebraic Equations,


Optimization problems.

1.Introduction
The Conjugate Gradient Method is an iterative technique for solving large sparse systems
of linear equations[1–3].As a linear algebra and matrix manipulation technique, it is a
useful tool in approximating solutions to linearized partial differential equations. the
fundamental concepts are introduced and utilized as the foundation for the derivation of
the Conjugate Gradient Method[4–6]. Alongside the fundamental concepts, an intuitive
geometric understanding of the Conjugate Gradient Method s detailsare included to add
clarity[7], [8].A detailed and rigorous analysis of the theorems which prove the
Conjugate Gradient algorithm are presented. Extensions of the Conjugate Gradient
Method through preconditioning the system in order to improve the effviency of the
ConjugateGradient Method are discussed[2], [5], [9–11].
Consider the problem of finding the vector x that minimizes the scalar function
1
𝐹 𝑥 = 2 𝑥 𝑇 𝐴 − 𝑏𝑇 𝑥 , where the matrix A is symmetric and positive definite because f(x)
is minimized when its gradient ∇𝑓 = 𝐴𝑥 − 𝑏 is zero , we see that minimization is
equivalent to solving 𝐴𝑥 = 𝑏

Gradient method accomplishes the minimization by iteration , starting with an initial


vector 𝑥0 .

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Each iterative cycle k computes a refined solution 𝑥𝑘+1 = 𝑥𝑘 + 𝛼𝑘 𝑑𝑘 ,the step length 𝛼𝑘
is chosen so that 𝑥𝑘+1 minimizes 𝑓(𝑥𝑘+1 ) in the search direction 𝑑𝑘 that is 𝑥𝑘+1 must
satisfy.

𝑑𝑘+1 𝐴𝑑𝑘 = 0

Ax=b

A(𝑥𝑘 + 𝛼𝑘 𝑑𝑘 ) = 𝑏(1)

A𝑥𝑘 + 𝛼𝑘 A𝑑𝑘 =b

𝛼𝑘 A𝑑𝑘 = 𝑏 − A𝑥𝑘

Introducing the residual 𝑟𝑘 = 𝑏 − A𝑥𝑘

Eq. (1)becomes 𝛼𝑘 A𝑑𝑘 = 𝑟𝑘 .

Permute multiplying both sides by 𝑑𝑘 and solving for 𝛼𝑘 , we obtain

𝛼𝑘 𝑑𝑘 𝑇 A𝑑𝑘 = 𝑑𝑘 𝑇 𝑟𝑘

𝑑𝑘 𝑇 𝑟 𝑘
𝛼𝑘 =𝑑 𝑇
𝑘 A𝑑 𝑘

We are still with the problem of determining the search direction dk .

Intuition tells us to choose 𝑑𝑘 = −∇𝑓 = 𝑟𝑘 , since this is the direction of the largest
negative change in f(x).[1−2],[4−5],[7]

𝑑𝑘+1 = 𝑟𝑘+1 +𝛽𝑘 𝑑𝑘

2. New Conjugate Gradient for System of Linear Equations Coefficient


1 (𝛼𝑘 𝑛𝑒𝑤1 )

To find a new conjugate gradient for system of linear equations Coefficient 1 we will use
the quadratic form:
1
Let 𝐹 𝑥 = 2 𝑥 − 𝑥 ∗ 𝑇 𝐴(𝑥 − 𝑥 ∗ ) be a quadratic function

1
𝑎𝑛𝑑 𝐹 𝑥𝑘+1 = 𝑥 − 𝑥 ∗ 𝑇 𝐴(𝑥𝑘+1 − 𝑥 ∗ )
2 𝑘+1
Where 𝑥𝑘+1 = 𝑥𝑘 + 𝛼𝑘 𝑑𝑘 ,
1
Then , 𝐹 𝑥𝑘+1 = 2 𝑥𝑘 + 𝛼𝑘 𝑑𝑘 − 𝑥 ∗ 𝑇 𝐴(𝑥𝑘 + 𝛼𝑘 𝑑𝑘 − 𝑥 ∗ )

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1
= 𝑥 𝐴 + 𝛼𝑘 𝑑𝑘 𝐴 − 𝑥 ∗ 𝐴 𝑇 (𝑥𝑘 + 𝛼𝑘 𝑑𝑘 − 𝑥 ∗ )
2 𝑘
1
= 2 (𝑥𝑘 𝑇 𝐴𝑥𝑘 + 𝛼𝑘 𝑥𝑘 𝑇 𝐴𝑑𝑘 − 𝑥𝑘 𝑇 𝐴𝑥 ∗ + 𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑥𝑘 +𝛼𝑘 2 𝑑𝑘 𝑇 𝐴𝑑𝑘 − 𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑥 ∗ −
𝑥 ∗ 𝑇 𝐴𝑥𝑘 − 𝛼𝑘 𝑥 ∗ 𝑇 𝐴𝑑𝑘 + 𝑥 ∗ 𝑇 𝐴𝑥 ∗ )
1
∇𝑓 = 2(𝑥𝑘 𝑇 𝐴𝑑𝑘 + 𝑑𝑘 𝑇 𝐴𝑥𝑘 + 2𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑑𝑘 − 𝑑𝑘 𝑇 𝐴𝑥 ∗ − 𝑥 ∗ 𝑇 𝐴𝑑𝑘 )

1
∇𝑓 = 2(2𝑥𝑘 𝑇 𝐴𝑑𝑘 + 2𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑑𝑘 − 2𝑥 ∗ 𝑇 𝐴𝑑𝑘 )

∇𝑓 =𝑥𝑘 𝑇 𝐴𝑑𝑘 + 𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑑𝑘 − 𝑥 ∗ 𝑇 𝐴𝑑𝑘

We must to compute the 𝛼𝑘 𝑛𝑒𝑤 1 ,and we can write ∇𝑓 = 0 , then

0 =𝑥𝑘 𝑇 𝐴𝑑𝑘 + 𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑑𝑘 − 𝑥 ∗ 𝑇 𝐴𝑑𝑘

𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑑𝑘 =𝑥 ∗ 𝑇 𝐴𝑑𝑘 − 𝑥𝑘 𝑇 𝐴𝑑𝑘

𝑛𝑒𝑤 1
𝑥 ∗ 𝑇 𝐴𝑑𝑘 − 𝑥𝑘 𝑇 𝐴𝑑𝑘
𝛼𝑘 =
𝑑𝑘 𝑇 𝐴𝑑𝑘

Becease 𝑥 ∗ = 𝐴−1 𝑏 ⇒ b=𝐴𝑥 ∗

𝑏 𝑇 𝑑 𝑘 −𝑥 𝑘 𝑇 𝐴𝑑 𝑘
Then 𝛼𝑘 𝑛𝑒𝑤 1 = 𝑑 𝑘 𝑇 𝐴𝑑 𝑘

𝑑 𝑘 𝑇 (𝑏−𝑥 𝑘 𝑇 𝐴)
𝛼𝑘 𝑛𝑒𝑤 1 = 𝑑 𝑘 𝑇 𝐴𝑑 𝑘

2.1.Algorithm of New Conjugate Gradient for System of Linear


Equations Coefficient (1):-
Step(1):- choose 𝑥0 (initial point ) , matrix A and vector b

Step(2):- 𝑟0 =b− A𝑥0

Step(3):- 𝑑0 = 𝑟0

Step(4):- Do with k=0,1,2,…

𝑑 𝑘 𝑇 (𝑏−𝑥 𝑘 𝑇 𝐴)
𝛼𝑘 𝑛𝑒𝑤 1 = 𝑑 𝑘 𝑇 𝐴𝑑 𝑘

𝑥𝑘+1 = 𝑥𝑘 + 𝛼𝑘 𝑑𝑘

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𝑟𝑘+1 = b− A𝑥𝑘+1

If 𝑟𝑘+1 ≤ 𝜀 exit loop ( convergence criterion ; 𝜀 is the error tolerance)

−𝑟𝑘+1 𝑇 𝐴𝑑𝑘
𝛽𝑘 =
𝑑𝑘 𝑇 𝐴𝑑𝑘

𝑑𝑘+1 = 𝑟𝑘+1 + 𝛽𝑘 𝑑𝑘

Step(5):- End do

5 −2 0 𝑥1 20
Example 2.2.Consider the system −2 5 1 𝑥2 = 10 , where A=
0 1 5 𝑥3 −10
5 −2 0
−2 5 1 is positive definite and symmetric for conjugate gradient method, first
0 1 5
0
set the starting point 𝑥0= 0 , so
0
20 5 −2 0 0 20
𝑟0 = 𝑏 − 𝐴𝑥0 = 10 − −2 5 1 0 = 10
−10 0 1 5 0 −10
20
𝑟0 = 𝑑0 = 10
−10
5 −2 0 20 80
𝐴𝑑0 = −2 5 1 10 = 0
0 1 5 −10 −40
𝑑 0 𝑇 (𝑏−𝑥 0 𝑇 𝐴) 400 +100 +100
𝛼0 𝑛𝑒𝑤 1 = =
𝑑 0 𝑇 𝐴𝑑 0 1600 +400

𝛼0 𝑛𝑒𝑤 1 = 0.3

0 20
𝑥1 = 𝑥0 + 𝛼0 𝑑0 = 0 +0.3 10
0 −10
6
𝑥1 = 3
−3
20 5 −2 0 6
𝑟1 = 𝑏 − 𝐴𝑥1 = 10 − −2 5 1 3
−10 0 1 5 −3

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−4
𝑟1 = 10
2
−𝑟1 𝑇 𝐴𝑑0
𝛽0 =
𝑑0 𝑇 𝐴𝑑0
320 +80
= 1600 +400

𝛽0 = 0.2

−4 20
𝑑1 = 𝑟1 + 𝛽0 𝑑0 = 10 + 0.2 10
2 −10
0
𝑑1 = 12
0
5 −2 0 0 −24
𝐴𝑑1 = −2 5 1 12 = 60
0 1 5 0 12
𝑑 1 𝑇 (𝑏−𝑥 1 𝑇 𝐴) 120
𝛼0 𝑛𝑒𝑤 1 = 𝑇 =720
𝑑 1 𝐴𝑑 1

𝛼1 = 0.1666667

6 0 6 0
𝑥2 = 𝑥1 + 𝛼1 𝑑1 = 3 + 0.1666667 12 = 3 + 2.0000004
−3 0 −3 0

6
𝑥2 = 5.0000004
−3
The exact solution is 𝑥1 = 6 , 𝑥2 = 5 𝑎𝑛𝑑 𝑥3 = −3.

Example 2.3.Solve the system of linear algebraic equations

10 −2 −1 −1 𝑥1 3
−1 −1 𝑥2
−2 10 = 15
−1 −1 10 −2 𝑥3 27
−1 −1 −2 10 𝑥4 −9

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0
by Conjugate Gradient method with the initial point 𝑥0 = 0
0
0
First iteration:

3 10 −2 −1 −1 0
Now we compute the 𝑟0 = 𝑏 − 𝐴𝑥0 = 15 − −2 10 −1 −1 0
27 −1 −1 10 −2 0
−9 −1 −1 −2 10 0
3
𝑟0 = 𝑑0 = 15
27
−9
10 −2 −1 −1 3 −18
𝐴𝑑0 = −2 10 −1 −1 15 = 126
−1 −1 10 −2 27 270
−1 −1 −2 10 −9 −162
3
𝑏 − 𝑥0 𝑇 𝐴 = 15
27
−9
𝑑 0 𝑇 (𝑏−𝑥 0 𝑇 𝐴) 1044
𝛼0 𝑛𝑒𝑤 1 = = 10584
𝑑 0 𝑇 𝐴𝑑 0

𝛼0 𝑛𝑒𝑤 1 = 0.09864

0 3
𝑥1 = 𝑥0 + 𝛼0 𝑛𝑒𝑤 1 𝑑0 = 0 +0.09864 15
0 27
0 −9
0.29592
𝑥1 = 1.4796
2.66328
−0.88776
second iteration:
3 10 −2 −1 −1 0.29592
𝑟1 = 𝑏 − 𝐴𝑥1 = 15 − −2 10 −1 −1 1.4796
27 −1 −1 10 −2 2.66328
−9 −1 −1 −2 10 −0.88776

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4.77552
𝑟1 = 2.57136
0.3672
6.97968
−𝑟1 𝑇 𝐴𝑑0
𝛽0 =
𝑑0 𝑇 𝐴𝑑0
793 .53216
= 10584

𝛽0 = 0.07497

4.77552 3
𝑑1 = 𝑟1 + 𝛽0 𝑑0 = 2.57136 + 0.07497 15
0.3672 27
6.97968 −9
5.00043
𝑑1 = 3.69591
2.39139
6.30495
𝑇
5.00043 10 −2 −1 −1 5.00043
𝑑1 𝐴𝑑1 = 3.69591
𝑇 −2 10 −1 −1 3.69591 =555.86432
2.39139 −1 −1 10 −2 2.39139
6.30495 −1 −1 −2 10 6.30495

𝑑1 𝑇 𝑏 − 𝑥1 𝑇 𝐴 = 78.26782

𝑑 1 𝑇 (𝑏−𝑥 1 𝑇 𝐴) 78.26782
𝛼1 𝑛𝑒𝑤 1 = 𝑇 =555 .86432
𝑑 1 𝐴𝑑 1

𝛼1 𝑛𝑒𝑤 1 = 0.14080

0.29592 5.00043
𝑥2 = 𝑥1 + 𝛼1 𝑛𝑒𝑤 1 𝑑1 = 1.4796 +0.14080 3.69591
2.66328 2.39139
−0.88776 6.30495

0.99998
𝑥2 = 1.99998
2.99999
−0.00002
Then the exact solution is

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𝑥1 1
𝑥2
= 2
𝑥3 3
𝑥4 0

3. New Conjugate Gradient for System of Linear Equations Coefficient


2 (𝛼𝑘 𝑛𝑒𝑤2 )

To find a new conjugate gradient for system of linear equations Coefficient (2) we will
use the quadratic form:
1
Let 𝐹 𝑥 = 2 𝑥 − 𝑥 ∗ 𝑇 𝐴 𝑥 − 𝑥 ∗ + (𝑥 − 𝑥 ∗ )𝑏 be a quadratic function

1
And 𝐹 𝑥𝑘+1 = 2 𝑥𝑘+1 − 𝑥 ∗ 𝑇 𝐴 𝑥𝑘+1 − 𝑥 ∗ + (𝑥𝑘+1 − 𝑥 ∗ )𝑏

Because 𝑥𝑘+1 = 𝑥𝑘 + 𝛼𝑘 𝑑𝑘 , then


1
𝐹 𝑥 = 2 𝑥𝑘 + 𝛼𝑘 𝑑𝑘 − 𝑥 ∗ 𝑇 𝐴(𝑥𝑘 + 𝛼𝑘 𝑑𝑘 − 𝑥 ∗ )+ (𝑥𝑘 + 𝛼𝑘 𝑑𝑘 − 𝑥 ∗ )𝑏

1
= (𝑥𝑘 𝑇 𝐴𝑥𝑘 + 𝛼𝑘 𝑥𝑘 𝑇 𝐴𝑑𝑘 − 𝑥𝑘 𝑇 𝐴𝑥 ∗ + 𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑥𝑘 +𝛼𝑘 2 𝑑𝑘 𝑇 𝐴𝑑𝑘 − 𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑥 ∗ −
2
𝑥 𝐴𝑥𝑘 − 𝛼𝑘 𝑥 ∗ 𝑇 𝐴𝑑𝑘 + 𝑥 ∗ 𝑇 𝐴𝑥 ∗ )+𝑥𝑘 𝑇 𝑏 + 𝛼𝑘 𝑑𝑘 𝑇 𝑏 − 𝑥 ∗ 𝑇 𝑏
∗𝑇

1
∇𝑓 = 2(𝑥𝑘 𝑇 𝐴𝑑𝑘 + 𝑑𝑘 𝑇 𝐴𝑥𝑘 + 2𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑑𝑘 − 𝑑𝑘 𝑇 𝐴𝑥 ∗ − 𝑥 ∗ 𝑇 𝐴𝑑𝑘 ) + 𝑑𝑘 𝑇 𝑏

1
= (2𝑥𝑘 𝑇 𝐴𝑑𝑘 + 2𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑑𝑘 − 2𝑥 ∗ 𝑇 𝐴𝑑𝑘 ) + 𝑑𝑘 𝑇 𝑏
2

=𝑥𝑘 𝑇 𝐴𝑑𝑘 + 𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑑𝑘 − 𝑥 ∗ 𝑇 𝐴𝑑𝑘 + 𝑑𝑘 𝑇 𝐴𝑥 ∗

∇𝑓 =𝑥𝑘 𝑇 𝐴𝑑𝑘 + 𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑑𝑘

We must to compute the 𝛼𝑘 𝑛𝑒𝑤 2 ,and we can write ∇𝑓 = 0 , then

𝛼𝑘 𝑑𝑘 𝑇 𝐴𝑑𝑘 =−𝑥𝑘 𝑇 𝐴𝑑𝑘

−𝑥𝑘 𝑇 𝐴𝑑𝑘
𝛼𝑘 𝑛𝑒𝑤 2 =
𝑑𝑘 𝑇 𝐴𝑑𝑘

Note: the initial point 𝑥0 for 𝛼𝑘 𝑛𝑒𝑤 2 not equal to zero

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3.1. Algorithm of New Conjugate Gradient for System of Linear


Equations Coefficient (2) :
Step(1):- choose 𝑥0 (initial point ) , matrix A and vector b

Step(2):- 𝑟0 =b− A𝑥0

Step(3):- 𝑑0 = 𝑟0

Step(4):- Do with k=0,1,2,…

−𝑥𝑘 𝑇 𝐴𝑑𝑘
𝛼𝑘 𝑛𝑒𝑤 2 =
𝑑𝑘 𝑇 𝐴𝑑𝑘

𝑥𝑘+1 = 𝑥𝑘 + 𝛼𝑘 𝑑𝑘

𝑟𝑘+1 = b− A𝑥𝑘+1

If 𝑟𝑘+1 ≤ 𝜀 exit loop ( convergence criterion ; 𝜀 is the error tolerance)

−𝑟𝑘+1 𝑇 𝐴𝑑𝑘
𝛽𝑘 =
𝑑𝑘 𝑇 𝐴𝑑𝑘

𝑑𝑘+1 = 𝑟𝑘+1 + 𝛽𝑘 𝑑𝑘

Step(5):- End do

4 1 𝑥1 1
Example 3.2.Consider the linear system Ax=b given by𝐴𝑥 = 𝑥 = with the
1 3 2 2
2
initial point 𝑥0 = , solve by the conjugate gradient method.
1
Our first step to compute the 𝑟0 by the formula𝑟0 = 𝑏 − 𝐴𝑥

1 4 1 2 1 9 −8
𝑟0 = 𝑏 − 𝐴𝑥0 = − = − =
2 1 3 1 2 5 −3
𝑟0 = 𝑑0

4 1 −8 −35
A𝑑0 = =
1 3 −3 −17
−𝑥 0 𝑇 𝐴𝑑 0 87
𝛼0 𝑛𝑒𝑤 2 = = 331
𝑑 0 𝑇 𝐴𝑑 0

𝛼0 𝑛𝑒𝑤 2 = 0.2628

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2 −8
𝑥1 = 𝑥0 + 𝛼0 𝑛𝑒𝑤 2 𝑑0 = +0.2628
1 −3
−0.1024
𝑥1 =
0.2116
1 4 1 −0.1024
𝑟1 = 𝑏 − 𝐴𝑥1 = −
2 1 3 0.2116
1.198
𝑟1 =
1.4647
−𝑟1 𝑇 𝐴𝑑0
𝛽0 =
𝑑0 𝑇 𝐴𝑑0

Since −𝑟1 𝑇 𝐴𝑑0 = 66.8792

66.8792
𝛽0 =
331
𝛽0 = 0.20205

1.198 −8
𝑑1 = 𝑟1 + 𝛽0 𝑑0 = + 0.20205
1.4647 −3
−0.4184
𝑑1 =
0.86145
4 1 −0.4184 −0.81215
𝐴𝑑1 = =
1 3 0.86145 2.16595
−𝑥 1 𝑇 𝐴𝑑 1 −0.54148
𝛼1 𝑛𝑒𝑤 2 = =
𝑑 1 𝑇 𝐴𝑑 1 2.20566

𝛼1 𝑛𝑒𝑤 2 = −0.2455

−0.1024 −0.4184
𝑥2 = 𝑥1 + 𝛼1 𝑛𝑒𝑤 2 𝑑1 = + (−0.2455)
0.2116 0.86145

−0.39651
𝑥2 =
−0.1487
1 4 1 −0.39651
𝑟2 = 𝑏 − 𝐴𝑥2 = −
2 1 3 −0.1487
2.73474
𝑟2 =
2.84261
−𝑟2 𝑇 𝐴𝑑1
𝛽1 =
𝑑1 𝑇 𝐴𝑑1

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Turkish Journal of Computer and Mathematics Education Vol.12 No.14 (2021), 5854-5865
Research Article

−𝑟2 𝑇 𝐴𝑑1 = −3.93593


−3.93593
= 2.20566

𝛽1 = −1.78447

2.73474 −0.4184
𝑑2 = 𝑟2 + 𝛽1 𝑑1 = + (−1.78447)
2.84261 0.86145
3.48136
𝑑2 =
1.30538
4 1 3.48136 15.23082
𝐴𝑑2 = =
1 3 1.30538 7.39752
−𝑥 2 𝑇 𝐴𝑑 2 7.13918
𝛼2 𝑛𝑒𝑤 2 = =
𝑑 2 𝑇 𝐴𝑑 2 62.68052

𝛼2 𝑛𝑒𝑤 2 = 0.1139

−0.39651 3.48136
𝑥3 = 𝑥2 + 𝛼2 𝑛𝑒𝑤 2 𝑑2 = + 0.1139
−0.1487 1.30538

0.00002
𝑥3 =
−0.00002

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Turkish Journal of Computer and Mathematics Education Vol.12 No.14 (2021), 5854-5865
Research Article

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[10] P. Concus, G. H. Golub, and D. P. O’Leary, “A generalized conjugate gradient
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