Download presentation

1
**Jonathan Richard Shewchuk Reading Group Presention By David Cline**

An Introduction to the Conjugate Gradient Method without the Agonizing Pain Jonathan Richard Shewchuk Reading Group Presention By David Cline 4/16/2017

2
**Linear System Unknown vector Known vector (what we want to find)**

Square matrix 4/16/2017

3
**Matrix Multiplication**

4/16/2017

4
**Positive Definite Matrix**

[ x1 x2 … xn ] > 0 * Also, all eigenvalues of the matrix are positive 4/16/2017

5
Quadtratic form An expression of the form 4/16/2017

6
Why do we care? The gradient of the quadratic form is our original system if A is symmetric: 4/16/2017

7
**Visual interpretation**

4/16/2017

8
Example Problem: 4/16/2017

9
**Visual representation**

f(x) f(x) f’(x) 4/16/2017

10
Solution the solution to the system, x, is the global minimum of f. … if A is symmetric, And since A is positive definite, x is the global minimum of f 4/16/2017

11
**Definitions Error Residual Whenever you read ‘residual’,**

Think ‘the direction of steepest Descent’. 4/16/2017

12
**Method of steepest descent**

Start with arbitrary point, x(0) move in direction opposite gradient of f, r(0) reach minimum in that direction at distance alpha repeat 4/16/2017

13
**Steepest descent, mathematically**

- OR - 4/16/2017

14
**Steepest descent, graphically**

4/16/2017

15
Eigen vectors 4/16/2017

16
**Steepest descent does well:**

Steepest descent converges in one Iteration if the error term is an Eigenvector. Steepest descent converges in one Iteration if the all the eigenvalues Are equal. 4/16/2017

17
**Steepest descent does poorly**

If the error term is a mix of large and small eigenvectors, steepest descent will move back and forth along toward the solution, but take many iterations to converge. The worst case convergence is related to the ratio of the largest and smallest eigenvalues of A, called the “condition number”: 4/16/2017

18
**Convergence of steepest descent:**

# iterations “energy norm” at iteration i “energy norm” at iteration 0 4/16/2017

19
**How can we speed up or guarantee convergence?**

Use the eigenvectors as directions. terminates in n iterations. 4/16/2017

20
**Method of conjugate directions**

Instead of eigenvectors, which are too hard to compute, use directions that are “conjugate” or “A-orthogonal”: 4/16/2017

21
**Method of conjugate directions**

4/16/2017

22
**How to find conjugate directions?**

Gram-Shmidt Conjugation: Start with n linearly independent vectors u0…un-1 For each vector, subract those parts that are not A-orthogonal to the other processed vectors: 4/16/2017

23
Problem Gram-Schmidt conjugation is slow and we have to store all of the vectors we have created. 4/16/2017

24
**Conjugate Gradient Method**

Apply the method of conjugate directions, but use the residuals for the u values: ui = r(i) 4/16/2017

25
How does this help us? It turns out that the residual ri is A-orthogonal to all of the previous residuals, except ri-1, so we simply make it A-orthogonal to ri-1, and we are set. 4/16/2017

26
Simplifying further k=i-1 4/16/2017

27
**Putting it all together**

Start with steepest descent Compute distance to bottom Of parabola Slide down to bottom of parabola Compute steepest descent At next location Remove part of vector that Is not A-orthogonal to di 4/16/2017

28
Starting and stopping Start either with a rough estimate of the solution, or the zero vector. Stop when the norm of the residual is small enough. 4/16/2017

29
**Benefit over steepest descent**

4/16/2017

30
Preconditioning 4/16/2017

31
**Diagonal preconditioning**

Just use the diagonal of A as M. A diagonal matrix is easy to invert, but of course it isn’t the best method out there. 4/16/2017

32
**CG on the normal equations**

If A is not symmetric, or positive-definite, or not square, we can’t use CG directly to solve However, we can use it to solve the system is always symmetric, positive definite and square. The problem that we solve with this is the least-squares fit but the condition number increases. Also note that we never actually have to form Instead we multiply by AT and then by A. 4/16/2017

33
4/16/2017

Similar presentations

© 2020 SlidePlayer.com Inc.

All rights reserved.

To make this website work, we log user data and share it with processors. To use this website, you must agree to our Privacy Policy, including cookie policy.

Ads by Google