梯度算法的matlab程序,Matlab实现共轭梯度法

Conjugate Gradient Method

The conjugate gradient method aims to solve a system of linear equations, Ax=b, where A is symmetric, without calculation of the inverse of A. It only requires a very small amount of membory, hence is particularly suitable for large scale systems.

It is faster than other approach such as Gaussian elimination if A is well-conditioned. For example,

n=1000;

[U,S,V]=svd(randn(n));

s=diag(S);

A=U*diag(s+max(s))*U'; % to make A symmetric, well-contioned

b=randn(1000,1);

tic,x=conjgrad(A,b);toc

tic,x1=A\b;toc

norm(x-x1)

norm(x-A*b)

Conjugate gradient is about two to three times faster than A\b, which uses the Gaissian elimination.