NAME

       cg - conjugate gradient algorithm (rheolef-7.2)

SYNOPSIS

       template <class Matrix, class Vector, class Vector2, class Preconditioner>
       int cg (const Matrix &A, Vector &x, const Vector2 &Mb, const Preconditioner &M,
               const solver_option& sopt = solver_option())

EXAMPLE

           solver_option sopt;
           sopt.max_iter = 100;
           sopt.tol = 1e-7;
           int status = cg (A, x, b, eye(), sopt);

DESCRIPTION

       This function solves the symmetric positive definite linear system A*x=b with the
       conjugate gradient method. The cg function follows the algorithm described on p. 15 in

           R. Barrett, M. Berry, T. F. Chan, J. Demmel, J. Donato,
           J. Dongarra, V. Eijkhout, R. Pozo, C. Romine and H. Van der Vorst,
           Templates for the solution of linear systems: building blocks for iterative methods,
           SIAM, 1994.

        The fourth argument of cg is a preconditionner: here, the eye(5) one is a do-nothing
       preconditionner, for simplicity. Finally, the solver_option(4) variable sopt transmits the
       stopping criterion with sopt.tol and sopt.max_iter.

       On return, the sopt.residue and sopt.n_iter indicate the reached residue and the number of
       iterations effectively performed. The return status is zero when the prescribed tolerance
       tol has been obtained, and non-zero otherwise. Also, the x variable contains the
       approximate solution. See also the solver_option(4) for more controls upon the stopping
       criterion.

IMPLEMENTATION

       This documentation has been generated from file linalg/lib/cg.h

       The present template implementation is inspired from the IML++ 1.2 iterative method
       library, http://math.nist.gov/iml++

       template <class Matrix, class Vector, class Vector2, class Preconditioner>
       int cg (const Matrix &A, Vector &x, const Vector2 &Mb, const Preconditioner &M,
               const solver_option& sopt = solver_option())

       {
         typedef typename Vector::size_type  Size;
         typedef typename Vector::float_type Real;
         std::string label = (sopt.label != "" ? sopt.label : "cg");
         Vector b = M.solve(Mb);
         Real norm2_b = dot(Mb,b);
         if (sopt.absolute_stopping || norm2_b == Real(0)) norm2_b = 1;
         Vector Mr = Mb - A*x;
         Real  norm2_r = 0;
         if (sopt.p_err) (*sopt.p_err) << "[" << label << "] #iteration residue" << std::endl;
         Vector p;
         for (sopt.n_iter = 0; sopt.n_iter <= sopt.max_iter; sopt.n_iter++) {
           Vector r = M.solve(Mr);
           Real prev_norm2_r = norm2_r;
           norm2_r = dot(Mr, r);
           sopt.residue = sqrt(norm2_r/norm2_b);
           if (sopt.p_err) (*sopt.p_err) << "[" << label << "] " << sopt.n_iter << " " << sopt.residue << std::endl;
           if (sopt.residue <= sopt.tol) return 0;
           if (sopt.n_iter == 0) {
             p = r;
           } else {
             Real beta = norm2_r/prev_norm2_r;
             p = r + beta*p;
           }
           Vector Mq = A*p;
           Real alpha = norm2_r/dot(Mq, p);
           x  += alpha*p;
           Mr -= alpha*Mq;
         }
         return 1;
       }

AUTHOR

       Pierre  Saramito  <Pierre.Saramito@imag.fr>

COPYRIGHT

       Copyright   (C)  2000-2018  Pierre  Saramito  <Pierre.Saramito@imag.fr> GPLv3+: GNU GPL
       version 3 or later  <http://gnu.org/licenses/gpl.html>.  This  is  free  software:  you
       are free to change and redistribute it.  There is NO WARRANTY, to the extent permitted by
       law.