pcgsolve: Preconditioned conjugate gradient method

In natbprice/tvdiff: Numerical differentiation of noisy, nonsmooth data

Description

Preconditioned conjugate gradient method for solving system of linear equations Ax = b, where A is symmetric and positive definite.

Usage

pcgsolve(b, M, alph, L, dx, tol = 1e-06, maxIter = 1000L)

Arguments

b	vector, with same dimension as number of rows of A.
M	matrix, preconditioner matrix defined interal to TVRegDiffR.
alph	numeric, regularization parameter used in TVRegDiffR.
L	matrix, linearized diffusion matrix internal to TVRegDiffR.
dx	numeric, grid spacing used in TVRegDiffR.
tol	numeric, threshold for convergence, default is 1e-6.
maxIter	numeric, maximum iteration, default is 1000.

Details

Code is a slightly modified version of pcgsolve

Value

A vector representing solution x.

natbprice/tvdiff documentation built on Jan. 10, 2021, 6:51 a.m.