Preconditioned conjugate gradient method: Difference between revisions

Revision as of 08:24, 30 May 2007

Revision as of 23:13, 14 August 2007

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instead.

The simplest preconditioner is a diagonal matrix that has just the diagonal elements of of <math>A</math>. This is known as Jacobi preconditioning or diagonal scaling. Since diagonal matrices are trivial to invert and store in memory, a diagonal preconditioner is a good starting point. More sophisticated choices must trade-off the reduction in <math>\kappa(A)</math>, and hence faster convergence, with the time spent computing <math>P^{-1}</math>.

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