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[[File:Conjugate gradient illustration.svg|right|thumb|A comparison of the convergence of [[gradient descent]] with optimal step size (in green) and conjugate vector (in red) for minimizing a quadratic function associated with a given linear system. Conjugate gradient, assuming exact arithmetic, converges in at most ''n'' steps where ''n'' is the size of the matrix of the system (here ''n''=2).]]
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In [[mathematics]], the '''conjugate gradient method''' is an [[algorithm]] for the [[numerical solution]] of particular [[system of linear equations|systems of linear equations]], namely those whose matrix is [[symmetric matrix|symmetric]] and [[positive-definite matrix|positive-definite]]. The conjugate gradient method is often implemented as an [[iterative method|iterative algorithm]], applicable to [[sparse matrix|sparse]] systems that are too large to be handled by a direct implementation or other direct methods such as the [[Cholesky decomposition]]. Large sparse systems often arise when numerically solving [[partial differential equation]]s or optimization problems.


The conjugate gradient method can also be used to solve unconstrained [[Mathematical optimization|optimization]] problems such as [[energy minimization]]. It was developed by [[Magnus Hestenes]] and [[Eduard Stiefel]].<ref>{{cite web|last=Straeter|first=T. A.|title=On the Extension of the Davidon-Broyden Class of Rank One, Quasi-Newton Minimization Methods to an Infinite Dimensional Hilbert Space with Applications to Optimal Control Problems|url=http://hdl.handle.net/2060/19710026200|work=NASA Technical Reports Server|publisher=NASA|accessdate=10 October 2011}}</ref>  
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The [[biconjugate gradient method]] provides a generalization to non-symmetric matrices. Various [[nonlinear conjugate gradient method]]s seek minima of nonlinear equations.
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==Description of the method==
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Suppose we want to solve the following [[system of linear equations]]
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:'''Ax''' = '''b'''
for the vector '''x''' where the known ''n''-by-''n'' matrix '''A''' is [[Symmetric matrix|symmetric]] (i.e. '''A'''<sup>T</sup> = '''A'''), [[positive definite matrix|positive definite]] (i.e. '''x'''<sup>T</sup>'''Ax''' > 0 for all non-zero vectors '''x''' in '''R'''<sup>''n''</sup>), and [[real number|real]], and '''b''' is known as well.


We denote the unique solution of this system by <math>\scriptstyle \mathbf{x}_*</math>.
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==The conjugate gradient method as a direct method==
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We say that two non-zero vectors ''u'' and ''v'' are [[Inner automorphism|conjugate]] (with respect to ''A'') if
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:<math> \mathbf{u}^\mathrm{T} \mathbf{A} \mathbf{v} = 0. </math>
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Since '''A''' is symmetric and positive definite, the left-hand side defines an [[inner product space|inner product]]
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:<math> \langle \mathbf{u},\mathbf{v} \rangle_\mathbf{A} := \langle \mathbf{A} \mathbf{u}, \mathbf{v}\rangle = \langle \mathbf{u},  \mathbf{A}^\mathrm{T} \mathbf{v}\rangle = \langle \mathbf{u}, \mathbf{A}\mathbf{v} \rangle = \mathbf{u}^\mathrm{T} \mathbf{A} \mathbf{v}. </math>
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Two vectors are conjugate if they are orthogonal with respect to this inner product.
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Being conjugate is a symmetric relation: if '''u''' is conjugate to '''v''', then '''v''' is conjugate to '''u'''.
 
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Suppose that <math>P=\{\mathbf{p}_k: \forall i\neq k \in [1,n] \subset \mathbb{N}, \langle\mathbf{p}_i,\mathbf{p}_k\rangle_{A}=0  \}</math> is a set of ''n'' mutually conjugate directions. Then <math>P</math> is a [[basis (linear algebra)|basis]] of <math>\mathbb{R}^n</math>, so within <math>P</math> we can expand the solution <math>\mathbf{x}_*</math> of <math>\mathbf{Ax} = \mathbf{b}</math>:
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:<math> \mathbf{x}_* = \sum^{n}_{i=1} \alpha_i \mathbf{p}_i</math>
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:<math> \mathbf{b}=\mathbf{A}\mathbf{x}_* = \sum^{n}_{i=1} \alpha_i \mathbf{A} \mathbf{p}_i.</math>
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:<math> \mathbf{p}_k^\mathrm{T} \mathbf{b}=\mathbf{p}_k^\mathrm{T} \mathbf{A}\mathbf{x}_* = \sum^{n}_{i=1} \alpha_i\mathbf{p}_k^\mathrm{T} \mathbf{A} \mathbf{p}_i=\alpha_k\mathbf{p}_k^\mathrm{T} \mathbf{A} \mathbf{p}_k.</math>
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(because <math>\forall i\neq k, p_i, p_k</math> are mutually conjugate)
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:<math> \alpha_k = \frac{\mathbf{p}_k^\mathrm{T} \mathbf{b}}{\mathbf{p}_k^\mathrm{T} \mathbf{A} \mathbf{p}_k} = \frac{\langle \mathbf{p}_k, \mathbf{b}\rangle}{\,\,\,\langle \mathbf{p}_k, \mathbf{p}_k\rangle_\mathbf{A}} = \frac{\langle \mathbf{p}_k, \mathbf{b}\rangle}{\,\,\,\|\mathbf{p}_k\|_\mathbf{A}^2}. </math>
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This result is perhaps most transparent by considering the inner product defined above.
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This gives the following method for solving the equation '''Ax''' = '''b''': find a sequence of ''n'' conjugate directions, and then compute the coefficients <math>\scriptstyle \alpha_k</math>.
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==The conjugate gradient method as an iterative method==
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If we choose the conjugate vectors '''p'''<sub>''k''</sub> carefully, then we may not need all of them to obtain a good approximation to the solution <math>\scriptstyle \mathbf{x}_*</math>. So, we want to regard the conjugate gradient method as an iterative method. This also allows us to approximately solve systems where ''n'' is so large that the direct method would take too much time.
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We denote the initial guess for <math>\scriptstyle \mathbf{x}_*</math> by '''x'''<sub>0</sub>. We can assume without loss of generality that '''x'''<sub>0</sub> = 0 (otherwise, consider the system '''Az''' = '''b''' − '''Ax'''<sub>0</sub> instead). Starting with '''x'''<sub>0</sub> we search for the solution and in each iteration we need a metric to tell us whether we are closer to the solution <math>\scriptstyle \mathbf{x}_*</math> (that is unknown to us). This metric comes from the fact that the solution <math>\scriptstyle \mathbf{x}_*</math> is also the unique minimizer of the following [[quadratic function]]; so if f('''x''') becomes smaller in an iteration it means that we are closer to <math>\scriptstyle \mathbf{x}_*</math>.
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:<math> f(\mathbf{x}) = \frac12 \mathbf{x}^\mathrm{T} \mathbf{A}\mathbf{x} - \mathbf{x}^\mathrm{T} \mathbf{b} , \quad \mathbf{x}\in\mathbf{R}^n. </math>
 
 
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<!-- Note that the +c has been added to the equation above. Without the c the trivial solution of x=0 is the minimum and the solution of the original equation. If x0 is the minimum, then the quadratic can be described as (x^T-x0^T)*A*(x-x0)-c0=0 (c0 is f at the minimum while x0 is the solution at the minimum). Expanding this you get x^T*X*x-x^T*b+c where b=2*A*x0 and c=x0^T*A*x0-c0 ... wait a minute... for the purposes of minimization c0 does not matter... if this is the case then c0 could be selected such that c0=x0^T*A*x0 in which case the original form x^T*X*x-x^T*b is still valid... -->
 
 
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This suggests taking the first basis vector '''p'''<sub>0</sub> to be the negative  of the gradient of ''f'' at '''x''' = '''x'''<sub>0</sub>. The gradient of ''f'' equals '''Ax'''<sub>0</sub>&minus;'''b'''.  Starting with a "guessed solution" '''x'''<sub>0</sub> (we can always guess that <math>\scriptstyle \mathbf{x}_*</math> is '''0''' and set '''x'''<sub>0</sub> to '''0''' if we have no reason to guess for anything else), this means we take '''p'''<sub>0</sub> = '''b'''&minus;'''Ax'''<sub>0</sub>. The other vectors in the basis will be conjugate to the gradient, hence the name ''conjugate gradient method''.
 
 
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Let '''r'''<sub>''k''</sub> be the [[residual (numerical analysis)|residual]] at the ''k''th step:
 
:<math> \mathbf{r}_k = \mathbf{b} - \mathbf{Ax}_k.  \, </math>
</ul>
Note that '''r'''<sub>''k''</sub> is the negative gradient of ''f'' at '''x''' = '''x'''<sub>''k''</sub>, so the [[gradient descent]] method would be to move in the direction '''r'''<sub>''k''</sub>. Here, we insist that the directions '''p'''<sub>''k''</sub> be conjugate to each other. We also require that the next search direction be built out of the current residue and all previous search directions, which is reasonable enough in practice.
 
The conjugation constraint is an  orthonormal-type constraint and hence the algorithm bears resemblance to [[Gram–Schmidt process|Gram-Schmidt orthonormalization]]. 
 
This gives the following expression:
:<math> \mathbf{p}_{k} = \mathbf{r}_{k} - \sum_{i < k}\frac{\mathbf{p}_i^\mathrm{T} \mathbf{A} \mathbf{r}_{k}}{\mathbf{p}_i^\mathrm{T}\mathbf{A} \mathbf{p}_i} \mathbf{p}_i </math>
(see the picture at the top of the article for the effect of the conjugacy constraint on convergence). Following this direction, the next optimal location is given by
:<math> \mathbf{x}_{k+1} = \mathbf{x}_k + \alpha_k \mathbf{p}_k </math>
with
:<math> \alpha_{k} = \frac{\mathbf{p}_k^\mathrm{T} \mathbf{b}}{\mathbf{p}_k^\mathrm{T} \mathbf{A} \mathbf{p}_k} = \frac{\mathbf{p}_k^\mathrm{T} (\mathbf{r}_{k-1}+\mathbf{Ax}_{k-1})}{\mathbf{p}_{k}^\mathrm{T} \mathbf{A} \mathbf{p}_{k}} = \frac{\mathbf{p}_{k}^\mathrm{T} \mathbf{r}_{k-1}}{\mathbf{p}_{k}^\mathrm{T} \mathbf{A} \mathbf{p}_{k}}, </math>
where the last equality holds because '''p'''<sub>''k''</sub> and '''x'''<sub>''k-1''</sub> are conjugate.
 
===The resulting algorithm===
The above algorithm gives the most straightforward explanation of the conjugate gradient method. Seemingly, the algorithm as stated requires storage of all previous searching directions and residue vectors, as well as many matrix-vector multiplications, and thus can be computationally expensive. However, a closer analysis of the algorithm shows that '''r'''<sub>''k+1''</sub> is conjugate to '''p'''<sub>''i''</sub> for all ''i < k'' (can be proved by induction, for example), and therefore only '''r'''<sub>''k''</sub>, '''p'''<sub>''k''</sub>, and '''x'''<sub>''k''</sub> are needed to construct '''r'''<sub>''k+1''</sub>, '''p'''<sub>''k+1''</sub>, and '''x'''<sub>''k+1''</sub>. Furthermore, only one matrix-vector multiplication is needed in each iteration.
 
The algorithm is detailed below for solving '''Ax''' = '''b''' where '''A''' is a real, symmetric, positive-definite matrix. The input vector '''x'''<sub>0</sub> can be an approximate initial solution or '''0'''. It is a different formulation of the exact procedure described above.
 
:<math>
\begin{align}
& \mathbf{r}_0 := \mathbf{b} - \mathbf{A x}_0 \\
& \mathbf{p}_0 := \mathbf{r}_0 \\
& k := 0 \\
& \hbox{repeat} \\
& \qquad \alpha_k := \frac{\mathbf{r}_k^\mathrm{T} \mathbf{r}_k}{\mathbf{p}_k^\mathrm{T} \mathbf{A p}_k}  \\
& \qquad \mathbf{x}_{k+1} := \mathbf{x}_k + \alpha_k \mathbf{p}_k \\
& \qquad \mathbf{r}_{k+1} := \mathbf{r}_k - \alpha_k \mathbf{A p}_k \\
& \qquad \hbox{if } r_{k+1} \hbox{ is sufficiently small then exit loop} \\
& \qquad \beta_k := \frac{\mathbf{r}_{k+1}^\mathrm{T} \mathbf{r}_{k+1}}{\mathbf{r}_k^\mathrm{T} \mathbf{r}_k} \\
& \qquad \mathbf{p}_{k+1} := \mathbf{r}_{k+1} + \beta_k \mathbf{p}_k \\
& \qquad k := k + 1 \\
& \hbox{end repeat} \\
& \hbox{The result is } \mathbf{x}_{k+1}
\end{align}
</math>
This is the most commonly used algorithm. The same formula for <math>\beta_k</math> is also used in the Fletcher–Reeves [[nonlinear conjugate gradient method]].
 
====Computation of alpha and beta====
In the algorithm, <math>\alpha_k</math> is chosen such that <math>\mathbf{r}_{k+1}</math> is orthogonal to <math>\mathbf{r}_k</math>. The denominator is simplified from
 
<math> \alpha_k = \frac{\mathbf{r}_k^\mathrm{T} \mathbf{r}_k}{\mathbf{r}_k^\mathrm{T} \mathbf{A p}_k} = \frac{\mathbf{r}_k^\mathrm{T} \mathbf{r}_k}{\mathbf{p}_k^\mathrm{T} \mathbf{A p}_k} </math>
 
since <math>\mathbf{r}_k = \mathbf{p}_k-\mathbf{\beta}_{k-1}\mathbf{p}_{k-1}</math>. The <math>\beta_k</math> is chosen such that <math>\mathbf{p}_{k+1}</math> is conjugated to <math>\mathbf{p}_k</math>. Initially, <math>\beta_k</math> is
 
<math>\beta_k = - \frac{\mathbf{r}_{k+1}^\mathrm{T} A \mathbf{p}_k}{\mathbf{p}_k^\mathrm{T} A \mathbf{p}_k}</math>
 
using <math>\mathbf{r}_k = \mathbf{r}_{k-1} - \alpha_{k-1} A \mathbf{p}_{k-1}</math> and equivalently <math> A \mathbf{p}_{k-1} = \frac{1}{\alpha_{k-1}} (\mathbf{r}_{k-1} - \mathbf{r}_k)</math>, the numerator of <math>\beta_k</math> is rewritten as
 
<math> \mathbf{r}_{k+1}^\mathrm{T} A \mathbf{p}_k = \frac{1}{\alpha_k} \mathbf{r}_{k+1}^\mathrm{T} (\mathbf{r}_k - \mathbf{r}_{k+1}) = - \frac{1}{\alpha_k} \mathbf{r}_{k+1}^\mathrm{T} \mathbf{r}_{k+1} </math>
 
because <math>\mathbf{r}_{k+1}</math> and <math>\mathbf{r}_k</math> are orthogonal by design. The denominator is rewritten as
<math> \mathbf{p}_k^\mathrm{T} A \mathbf{p}_k = (\mathbf{r}_k + \beta_{k-1} \mathbf{p}_{k-1})^\mathrm{T} A \mathbf{p}_k = \frac{1}{\alpha_k} \mathbf{r}_k^\mathrm{T} (\mathbf{r}_k - \mathbf{r}_{k+1}) = \frac{1}{\alpha_k} \mathbf{r}_k^\mathrm{T} \mathbf{r}_k </math>
 
using that the search directions <math>\mathbf{p}_k</math> are conjugated and again that the residuals are orthogonal. This gives the <math>\beta</math> in the algorithm after cancelling <math>\alpha_k</math>.
 
====Example code in Matlab====
<source lang="matlab">
function [x] = conjgrad(A,b,x)
    r=b-A*x;
    p=r;
    rsold=r'*r;
 
    for i=1:10^(6)
        Ap=A*p;
        alpha=rsold/(p'*Ap);
        x=x+alpha*p;
        r=r-alpha*Ap;
        rsnew=r'*r;
        if sqrt(rsnew)<1e-10
              break;
        end
        p=r+rsnew/rsold*p;
        rsold=rsnew;
    end
</source>
 
===Numerical example===
 
To illustrate the conjugate gradient method, we will complete a simple example.
 
Considering the linear system '''Ax''' = '''b''' given by
 
:: <math>\mathbf{A} \mathbf{x}= \begin{bmatrix}
4 & 1 \\
1 & 3 \end{bmatrix}\begin{bmatrix}
x_1 \\
x_2 \end{bmatrix} = \begin{bmatrix}
1 \\
2 \end{bmatrix}
,</math>
 
we will perform two steps of the conjugate gradient method beginning with the initial guess
 
:: <math>\mathbf{x}_0 =
\begin{bmatrix}
2 \\
1 \end{bmatrix}
</math>
 
in order to find an approximate solution to the system.
 
====Solution====
For reference, the exact solution is
:: <math>
\mathbf{x} =
\begin{bmatrix} \frac{1}{11} \\\\ \frac{7}{11} \end{bmatrix}
</math>
Our first step is to calculate the residual vector '''r'''<sub>0</sub> associated with '''x'''<sub>0</sub>. This residual is computed from the formula '''r'''<sub>0</sub> = '''b''' - '''Ax'''<sub>0</sub>, and in our case is equal to
 
:: <math>
\mathbf{r}_0 =
\begin{bmatrix} 1 \\ 2 \end{bmatrix} -
\begin{bmatrix} 4 & 1 \\ 1 & 3 \end{bmatrix}
\begin{bmatrix} 2 \\ 1 \end{bmatrix} =
\begin{bmatrix}-8 \\ -3 \end{bmatrix}.
 
</math>
 
Since this is the first iteration, we will use the residual vector '''r'''<sub>0</sub> as our initial search direction '''p'''<sub>0</sub>; the method of selecting '''p'''<sub>k</sub> will change in further iterations.
 
We now compute the scalar α<sub>0</sub> using the relationship
 
::<math>
\alpha_0 = \frac{\mathbf{r}_0^\mathrm{T} \mathbf{r}_0}{\mathbf{p}_0^\mathrm{T} \mathbf{A p}_0} =
\frac{\begin{bmatrix} -8 & -3 \end{bmatrix} \begin{bmatrix} -8 \\ -3 \end{bmatrix}}{  \begin{bmatrix} -8 & -3 \end{bmatrix} \begin{bmatrix} 4 & 1 \\ 1 & 3 \end{bmatrix} \begin{bmatrix} -8 \\ -3 \end{bmatrix}  } =
\frac{73}{331}.
</math>
 
We can now compute '''x'''<sub>1</sub> using the formula
 
::<math>
\mathbf{x}_1 = \mathbf{x}_0 + \alpha_0\mathbf{p}_0 =
\begin{bmatrix} 2 \\ 1 \end{bmatrix} + \frac{73}{331} \begin{bmatrix} -8 \\ -3 \end{bmatrix} = \begin{bmatrix} 0.2356 \\ 0.3384 \end{bmatrix}.
</math>
 
This result completes the first iteration, the result being an "improved" approximate solution to the system, '''x'''<sub>1</sub>.  We may now move on and compute the next residual vector '''r'''<sub>1</sub> using the formula
 
::<math>
\mathbf{r}_1 = \mathbf{r}_0 - \alpha_0 \mathbf{A} \mathbf{p}_0 =
\begin{bmatrix} -8 \\ -3 \end{bmatrix} - \frac{73}{331} \begin{bmatrix} 4 & 1 \\ 1 & 3 \end{bmatrix} \begin{bmatrix} -8 \\ -3 \end{bmatrix} = \begin{bmatrix} -0.2810 \\ 0.7492 \end{bmatrix}.
</math>
 
Our next step in the process is to compute the scalar β<sub>0</sub> that will eventually be used to determine the next search direction '''p'''<sub>1</sub>.
 
::<math>
\beta_0 = \frac{\mathbf{r}_1^\mathrm{T} \mathbf{r}_1}{\mathbf{r}_0^\mathrm{T} \mathbf{r}_0} =
\frac{\begin{bmatrix} -0.2810 & 0.7492 \end{bmatrix} \begin{bmatrix} -0.2810 \\ 0.7492 \end{bmatrix}}{\begin{bmatrix} -8 & -3 \end{bmatrix} \begin{bmatrix} -8 \\ -3 \end{bmatrix}} = 0.0088.
</math>
 
Now, using this scalar β<sub>0</sub>, we can compute the next search direction '''p'''<sub>1</sub> using the relationship
 
::<math>
\mathbf{p}_1 = \mathbf{r}_1 + \beta_0 \mathbf{p}_0 =
\begin{bmatrix} -0.2810 \\ 0.7492 \end{bmatrix} + 0.0088 \begin{bmatrix} -8 \\ -3 \end{bmatrix} = \begin{bmatrix} -0.3511 \\ 0.7229 \end{bmatrix}.
</math>
 
We now compute the scalar α<sub>1</sub> using our newly-acquired '''p'''<sub>1</sub> using the same method as that used for α<sub>0</sub>.
 
::<math>
\alpha_1 = \frac{\mathbf{r}_1^\mathrm{T} \mathbf{r}_1}{\mathbf{p}_1^\mathrm{T} \mathbf{A p}_1} =
\frac{\begin{bmatrix} -0.2810 & 0.7492 \end{bmatrix} \begin{bmatrix} -0.2810 \\ 0.7492 \end{bmatrix}}{  \begin{bmatrix} -0.3511 & 0.7229 \end{bmatrix} \begin{bmatrix} 4 & 1 \\ 1 & 3 \end{bmatrix} \begin{bmatrix} -0.3511 \\ 0.7229 \end{bmatrix}  } =
0.4122.
</math>
 
Finally, we find '''x'''<sub>2</sub> using the same method as that used to find '''x'''<sub>1</sub>.
 
::<math>
\mathbf{x}_2 = \mathbf{x}_1 + \alpha_1 \mathbf{p}_1 =
\begin{bmatrix} 0.2356 \\ 0.3384 \end{bmatrix} + 0.4122 \begin{bmatrix} -0.3511 \\ 0.7229 \end{bmatrix} = \begin{bmatrix} 0.0909 \\ 0.6364 \end{bmatrix}.
</math>
 
The result, '''x'''<sub>2</sub>, is a "better" approximation to the system's solution than '''x'''<sub>1</sub> and '''x'''<sub>0</sub>.  If exact arithmetic were to be used in this example instead of limited-precision, then the exact solution would theoretically have been reached after ''n'' = 2 iterations (''n'' being the order of the system).
 
==Convergence properties of the conjugate gradient method==
The conjugate gradient method can theoretically be viewed as a direct method, as it produces the exact solution after a finite number of iterations, which is not larger than the size of the matrix, in the absence of [[round-off error]]. However, the conjugate gradient method is unstable with respect to even small perturbations, e.g., most directions are not in practice conjugate, and the exact solution is never obtained. Fortunately, the conjugate gradient method can be used as an [[iterative method]] as it provides monotonically improving approximations <math>\mathbf{x}_{k}</math> to the exact solution, which may reach the required tolerance after a relatively small (compared to the problem size) number of iterations. The improvement is typically linear and its speed is determined by the [[condition number]] <math>\kappa(A)</math> of the system matrix <math>A</math>: the larger is <math>\kappa(A)</math>, the slower the improvement.<ref name=saad1996iterative>{{cite book|last=Saad|first=Yousef|title=Iterative methods for sparse linear systems|year=2003|publisher=Society for Industrial and Applied Mathematics|location=Philadelphia, Pa.|isbn=978-0-89871-534-7|pages=195|edition=2nd ed. --}}</ref>
 
If  <math>\kappa(A)</math> is large,  [[preconditioning]] is used to replace the original system <math>\mathbf{A x}-\mathbf{b} = 0</math> with <math>\mathbf{M}^{-1}(\mathbf{A x}-\mathbf{b}) = 0</math> so that <math>\kappa(\mathbf{M}^{-1}\mathbf{A})</math> gets smaller than <math>\kappa(\mathbf{A})</math>, see below.
 
==The preconditioned conjugate gradient method==
{{See also|Preconditioner}}
In most cases, [[preconditioning]] is necessary to ensure fast convergence of the conjugate gradient method. The preconditioned conjugate gradient method takes the following form:
 
:<math>\mathbf{r}_0 := \mathbf{b} - \mathbf{A x}_0</math>
:<math>\mathbf{z}_0 := \mathbf{M}^{-1} \mathbf{r}_0</math>
:<math>\mathbf{p}_0 := \mathbf{z}_0</math>
:<math>k := 0 \, </math>
:'''repeat'''
::<math>\alpha_k := \frac{\mathbf{r}_k^\mathrm{T} \mathbf{z}_k}{\mathbf{p}_k^\mathrm{T} \mathbf{A p}_k}</math>
::<math>\mathbf{x}_{k+1} := \mathbf{x}_k + \alpha_k \mathbf{p}_k</math>
::<math>\mathbf{r}_{k+1} := \mathbf{r}_k - \alpha_k \mathbf{A p}_k</math>
::'''if''' '''r'''<sub>''k''+1</sub> is sufficiently small '''then''' exit loop '''end if'''
::<math>\mathbf{z}_{k+1} := \mathbf{M}^{-1} \mathbf{r}_{k+1}</math>
::<math>\beta_k := \frac{\mathbf{z}_{k+1}^\mathrm{T} \mathbf{r}_{k+1}}{\mathbf{z}_k^\mathrm{T} \mathbf{r}_k}</math>
::<math>\mathbf{p}_{k+1} := \mathbf{z}_{k+1} + \beta_k \mathbf{p}_k</math>
::<math>k := k + 1 \, </math>
:'''end repeat'''
:The result is '''x'''<sub>''k''+1</sub>
 
The above formulation is equivalent to applying the conjugate gradient method without preconditioning to the system{{ref label|agonizing_pain|1|^}}
:<math>\mathbf{E}^{-1}\mathbf{A}(\mathbf{E}^{-1})^\mathrm{T}\mathbf{\hat{x}}=\mathbf{E}^{-1}\mathbf{b}</math>
where <math>\mathbf{EE}^\mathrm{T}=\mathbf{M}</math> and <math>\mathbf{\hat{x}}=\mathbf{E}^\mathrm{T}\mathbf{x}</math>.
 
The preconditioner matrix '''M''' has to be symmetric positive-definite and fixed, i.e., cannot change from iteration to iteration.
If any of these assumptions on the preconditioner is violated, the behavior of the preconditioned conjugate gradient method may become unpredictable.
 
An example of a commonly used [[preconditioner]] is the [[incomplete Cholesky factorization]].
 
==The flexible preconditioned conjugate gradient method==
 
In numerically challenging applications, sophisticated preconditioners are used, which may lead to variable preconditioning, changing between iterations. Even if the preconditioner is symmetric positive-definite on every iteration, the fact that it may change makes the arguments above invalid, and in practical tests leads to a significant slow down of the convergence of the algorithm presented above. Using the [[nonlinear conjugate gradient method|Polak–Ribière]] formula
 
::<math>\beta_k := \frac{\mathbf{z}_{k+1}^\mathrm{T} \left(\mathbf{r}_{k+1}-\mathbf{r}_{k}\right)}{\mathbf{z}_k^\mathrm{T} \mathbf{r}_k}</math>
 
instead of the [[nonlinear conjugate gradient method|Fletcher–Reeves]] formula
 
::<math>\beta_k := \frac{\mathbf{z}_{k+1}^\mathrm{T} \mathbf{r}_{k+1}}{\mathbf{z}_k^\mathrm{T} \mathbf{r}_k}</math>
 
may dramatically improve the convergence in this case.<ref>{{cite journal |doi=10.1137/S1064827597323415 |title=Inexact Preconditioned Conjugate Gradient Method with Inner-Outer Iteration |year=1999 |last1=Golub |first1=Gene H. |last2=Ye |first2=Qiang |journal=SIAM Journal on Scientific Computing |volume=21 |issue=4 |pages=1305}}</ref> This version of the preconditioned conjugate gradient method can be  called<ref>{{cite journal|doi=10.1137/S1064827599362314|title=Flexible Conjugate Gradients|year=2000|last1=Notay|first1=Yvan|journal=SIAM Journal on Scientific Computing|volume=22|issue=4|pages=1444}}</ref> '''flexible,''' as it allows for variable preconditioning. The implementation of the flexible version requires storing an extra vector. For a fixed preconditioner, <math>\mathbf{z}_{k+1}^\mathrm{T} \mathbf{r}_{k}=0,</math> so both formulas for <math>\beta_k</math> are equivalent in exact arithmetic, i.e., without the [[round-off error]].
 
The mathematical explanation of the better convergence behavior of the method with the [[nonlinear conjugate gradient method|Polak–Ribière]] formula is that the method is '''locally optimal''' in this case, in particular, it converges not slower than the locally optimal steepest descent method.<ref>{{cite journal|doi=10.1137/060675290|title=Steepest Descent and Conjugate Gradient Methods with Variable Preconditioning|year=2008|last1=Knyazev|first1=Andrew V.|last2=Lashuk|first2=Ilya|journal=SIAM Journal on Matrix Analysis and Applications|volume=29|issue=4|pages=1267}}</ref>
 
==The conjugate gradient method vs. the locally optimal steepest descent method==
 
In both the original and the preconditioned conjugate gradient methods one only needs to always set  <math>\beta_k := 0</math> in order to turn them into locally optimal, using the [[line search]], [[steepest descent]] methods. With this substitution, vectors <math>\mathbf{p}</math> are always the same as vectors <math>\mathbf{z}</math>, so there is no need to store vectors <math>\mathbf{p}</math>. Thus, every iteration of these [[steepest descent]] methods is a bit cheaper compared to that for the conjugate gradient methods. However, the latter converge faster, unless a (highly) variable [[preconditioner]] is used, see above.
 
==Derivation of the method==
{{main|Derivation of the conjugate gradient method}}
 
The conjugate gradient method can be derived from several different perspectives, including specialization of the conjugate direction method for optimization, and variation of the [[Arnoldi iteration|Arnoldi]]/[[Lanczos iteration|Lanczos]] iteration for [[eigenvalue]] problems. Despite differences in their approaches, these derivations share a common topic—proving the orthogonality of the residuals and conjugacy of the search directions. These two properties are crucial to developing the well-known succinct formulation of the method.
 
==Conjugate gradient on the normal equations==
The conjugate gradient method can be applied to an arbitrary ''n''-by-''m'' matrix by applying it to [[normal equations]] '''A'''<sup>T</sup>'''A''' and right-hand side vector '''A'''<sup>T</sup>'''b''', since  '''A'''<sup>T</sup>'''A''' is a symmetric [[Positive-definite matrix#Negative-definite.2C_semidefinite_and_indefinite_matrices|positive-semidefinite]] matrix for any '''A'''. The result is conjugate gradient on the normal equations (CGNR).
 
: '''A'''<sup>T</sup>'''Ax''' =  '''A'''<sup>T</sup>'''b'''
 
As an iterative method, it is not necessary to form  '''A'''<sup>T</sup>'''A''' explicitly in memory but only to perform the matrix-vector and transpose matrix-vector multiplications. Therefore CGNR is particularly useful when ''A'' is a [[sparse matrix]] since these operations are usually extremely efficient. However the downside of forming the normal equations is that the [[condition number]] κ('''A'''<sup>T</sup>'''A''') is equal to κ<sup>2</sup>('''A''') and so the rate of convergence of CGNR may be slow and the quality of the approximate solution may be sensitive to roundoff errors. Finding a good [[preconditioner]] is often an important part of using the CGNR method.
 
Several algorithms have been proposed (e.g., CGLS, LSQR). The LSQR algorithm purportedly has the best numerical stability when '''A''' is ill-conditioned, i.e., '''A''' has a large [[condition number]].
 
==See also==
* [[Biconjugate gradient method]] (BiCG)
* [[Conjugate residual method]]
* [[Nonlinear conjugate gradient]] method
* [[Iterative_method#Linear_systems|Iterative method. Linear systems]]
* [[Preconditioning]]
* [[Belief_propagation#Gaussian_belief_propagation_.28GaBP.29|Gaussian Belief Propagation]]
* [[Krylov subspace]]
 
==Notes==
{{Reflist}}
 
==References==
The conjugate gradient method was originally proposed in
*{{cite journal|last = [[Magnus Hestenes|Hestenes]]|first = [[Magnus Hestenes|Magnus R.]]|coauthors = [[Eduard Stiefel|Stiefel, Eduard]]|title = Methods of Conjugate Gradients for Solving Linear Systems|journal = Journal of Research of the National Bureau of Standards|volume = 49|issue = 6|date=December 1952|url = http://nvl.nist.gov/pub/nistpubs/jres/049/6/V49.N06.A08.pdf|format=PDF}}
Descriptions of the method can be found in the following text books:
* {{cite book|first=Kendell A. |last=Atkinson |year=1988|title=An introduction to numerical analysis|edition=2nd |chapter= Section 8.9|publisher= John Wiley and Sons| isbn= 0-471-50023-2}}
* {{cite book|first=Mordecai|last= Avriel |year=2003|title=Nonlinear Programming: Analysis and Methods|publisher= Dover Publishing| isbn= 0-486-43227-0}}
* {{cite book|first1=Gene H. |last1=Golub |first2= Charles F.|last2= Van Loan|title=Matrix computations|edition=3rd|chapter= Chapter 10|publisher= Johns Hopkins University Press| isbn =0-8018-5414-8}}
* {{cite book|first=Yousef|last= Saad|title=Iterative methods for sparse linear systems|edition=2nd |chapter=Chapter 6
|publisher= SIAM| isbn= 978-0-89871-534-7}}
 
==External links==
* {{springer|title=Conjugate gradients, method of|id=p/c025030}}
* [http://www.cs.cmu.edu/~quake-papers/painless-conjugate-gradient.pdf An Introduction to the Conjugate Gradient Method Without the Agonizing Pain] by Jonathan Richard Shewchuk.
* [http://www-users.cs.umn.edu/~saad/books.html Iterative methods for sparse linear systems] by Yousef Saad
* [http://www.stanford.edu/group/SOL/software/lsqr.html LSQR: Sparse Equations and Least Squares] by Christopher Paige and Michael Saunders.
* [http://www.onmyphd.com/?p=conjugate.gradient.method Derivation of fast implementation of conjugate gradient method and interactive example]
 
{{Numerical linear algebra}}
 
{{DEFAULTSORT:Conjugate Gradient Method}}
[[Category:Numerical linear algebra]]
[[Category:Gradient methods]]
[[Category:Articles with example pseudocode]]

Latest revision as of 15:15, 24 July 2014

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