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stanford.eduPreconditioned conjugate gradient algorithm • idea: apply CG after linear change of coordinates x = Ty, detT 6= 0 • use CG to solve TTATy = TTb; then set x⋆ = T−1y⋆ • T or M = TTT is called preconditioner • in naive implementation, each iteration requires multiplies by T and TT (and A); also need to compute x⋆ = T−1y⋆ at end • can re-arrange computation so each iteration ...
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