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Convergence of the Conjugate Gradient Method on Singular Systems (1809.00793v2)
Published 4 Sep 2018 in math.NA and cs.NA
Abstract: We analyze the convergence of the Conjugate Gradient (CG) method in exact arithmetic, when the coefficient matrix $A$ is symmetric positive semidefinite and the system is consistent. To do so, we diagonalize $A$ and decompose the algorithm into the range and the null space components of $A$. Further, we apply the analysis to the CGLS and CGNE (CG Normal Error) methods for rank-deficient least squares problems.