src_c/pcg.c File Reference

Source file for a preconditioned conjugate gradient method implementation. More...

#include <stdio.h>
#include <stdlib.h>
#include <string.h>
#include <math.h>
#include "blas.h"
#include "def.h"
#include "pcg.h"

Functions
void	init_pcg_status (pcg_status_t *pcgstat)
	Initialize pcg_status_t structure.
int	pcg (double *x, pcg_status_t *pcgstat, void(*afun)(double *, const double *, const void *), const void *adata, void(*mfun)(double *, const double *, const void *), const void *mdata, double *b, double tol, double maxiter, int n)
	Solves Ax = b via PCG.

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Detailed Description

Source file for a preconditioned conjugate gradient method implementation.

This PCG implementation is based on the algorithm in the book Numerical Optimization by Nocedal and Write.

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Function Documentation

void init_pcg_status

(

pcg_status_t *

pcgstat

)

Initialize pcg_status_t structure.

Parameters:

pcgstat

pointer to a pcg_status_t structure.

References pcg_status_t::flag, pcg_status_t::iter, and pcg_status_t::relres.

Referenced by l1_logreg_train().

int pcg	(	double *	x,
		pcg_status_t *	pcgstat,
		void(*)(double *, const double *, const void *)	afun,
		const void *	adata,
		void(*)(double *, const double *, const void *)	mfun,
		const void *	mdata,
		double *	b,
		double	tol,
		double	maxiter,
		int	n
	)

Solves Ax = b via PCG.

PCG implements a preconditioned conjugate gradient method, which solves a positive definite linear system Ax = b. Here, A is a (m x n) matrix, b is an m-vector, and variable x is an n-vector.

Parameters:

	x	double array of size n; This parameter is used for both taking an initial value and returning the result.
	pcgstat	pointer to a structure of PCG status.
	afun	pointer to a function that computes A*x.
	adata	pointer to a data structure for afun;
	mfun	pointer to a function that computes M^{-1}r.
	mdata	pointer to a data structure for mfun;
	b	pointer to a n-vector
	tol	integer; terminates algorithm when ||r|| < ||b||*tol.
	maxiter	integer; terminates algorithm when iteration exceeds maxiter.
	n	integer; dimension of the problem.

Call back functions:

• afun(double *out, const double *in, const void *adata): -- afun is a function which computes out = A*in.
• mfun(double *out, const double *in, const void *mdata) -- mfun is a function which computes out = M^(-1)*in.

References pcg_status_t::flag, pcg_status_t::iter, and pcg_status_t::relres.

Referenced by compute_searchdir_pcg().