I. Basic math.
 II. Pricing and Hedging.
 III. Explicit techniques.
 IV. Data Analysis.
 V. Implementation tools.
 VI. Basic Math II.
 VII. Implementation tools II.
 1 Calculational Linear Algebra.
 B. Method of steepest descent.
 C. Method of conjugate directions.
 E. Convergence analysis of conjugate gradient method.
 F. Preconditioning.
 G. Recursive calculation.
 H. Parallel subspace preconditioner.
 2 Wavelet Analysis.
 3 Finite element method.
 4 Construction of approximation spaces.
 5 Time discretization.
 6 Variational inequalities.
 VIII. Bibliography
 Notation. Index. Contents.

Convergence analysis of conjugate gradient method.

unning procedure ( Conjugate gradients ) for all steps is not always feasible. In addition, numerical errors are likely to destroy orthogonality of For these reasons it makes sense to study convergence of the procedure ( Conjugate gradients ).

According to the formula ( Conjugate gradient residue selection ) According to the formula ( Error and residual 2 ) we then have for some -th degree polynomial Furthemore, by tracing the recipe ( Conjugate gradients ) directly we see that . The conjugate gradient acts to minimize by manipulating coefficients of . Thus, using notation of the definition ( Positive definite inner product ), Since is a positive definite symmetric matrix, there exists a set of eigen vectors and positive eigen values . Then for some numbers . We have Therefore To evaluate the combination we aim to apply the proposition ( Minimum norm optimality of Chebyshev polynomials ). We are dealing with the minimization over and the proposition is formed for ( Minimum norm optimality of Chebyshev polynomials ) . However, a review of the proof of that proposition shows that normalization is irrelevant to the argument. We would still have optimality at a polynomial that differ from a Chebyshev polynomial by multiplicative constant. We do, however, need to transform from to . where , and . Next, we map to : We now apply the proposition ( Minimum norm optimality of Chebyshev polynomials ). where the constant is the scale to insure The is a scale of given by with the consequences Hence, we rewrite or, by taking square root and replacing , We introduce the quantity

 (Condition number)
then We use the proposition ( Chebyshev polynomials calculation ): Therefore As grows the first term grows and the second term vanishes. Then

Proposition

(Convergence of conjugate gradient method) Let be a positive definite symmetric matrix, given by the formula ( Condition number ) and is given by the formula ( Error and residual ). Then the procedure of the summary ( Conjugate gradients ) has convergence rate

 Notation. Index. Contents.