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A framework of conjugate direction methods for symmetric linear systems in optimization

Listed author(s):
  • Giovanni Fasano


    (Dept. of Management, Università Ca' Foscari Venice)

In this paper we introduce a parameter dependent class of Krylov-based methods, namely CD, for the solution of symmetric linear systems. We give evidence that in our proposal we generate sequences of conjugate directions, extending some properties of the standard Conjugate Gradient (CG) method, in order to preserve the conjugacy. For specific values of the parameters in our framework we obtain schemes equivalent to both the CG and the scaled-CG. We also prove the finite convergence of the algorithms in CD, and we provide some error analysis. Finally, preconditioning is introduced for CD, and we show that standard error bounds for the preconditioned CG also hold for the preconditioned CD.

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Paper provided by Department of Management, Università Ca' Foscari Venezia in its series Working Papers with number 31.

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Length: 36 pages
Date of creation: Dec 2013
Handle: RePEc:vnm:wpdman:67
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  1. Giovanni Fasano & Massimo Roma, 2013. "Preconditioning Newton–Krylov methods in nonconvex large scale optimization," Computational Optimization and Applications, Springer, vol. 56(2), pages 253-290, October.
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