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Numerical LA: Cholesky & Conjugate gradient method

  1. Feb 15, 2005 #1
    Hello,

    I have to do a proof and am having trouble starting.

    The proof is to show how you could use Cholesky decomposition to determine a set of A-orthogonal directions.


    Cholesky decom. means I can write the symmetric positive definite matrix as

    A = GG'

    The textbook gives a way of determining the A-orthogonal set using A. Specifically,

    v_k = r_k-1 + s_k-1*v_k-1

    where v_k is the kth direction vector and r_k-1 is the k-1 residual vector. So we want to choose s_k-1 such that

    <v_k-1, Av_k> = 0

    The textbook then goes onto show:

    s_k-1 = - <v_k-1, Ar_k-1> / <v_k-1, Av_k-1>

    So I don't see how using A = GG' helps at all.

    If anyone could give me a tip on how to start, I'd be thankful.
     
  2. jcsd
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