예제 #1
0
/* Solve Ax = b using the conjugate gradient method. */
Matrix conjugateGradient(Matrix& A, Matrix& b)
{
    double error_tol = .5;      // error tolerance
    int max_iter = 200;          // max # of iterations
    ColumnVector x(A.rows());   // the solution we will iteratively arrive at
    
    int i = 0;
    ColumnVector r = static_cast<ColumnVector>(b - A*x);
    ColumnVector d = r;
    double sigma_old = 0; // will be used later on, in the loop
    double sigma_new = (r.transpose() * r)(0,0);
    double sigma_0 = sigma_new;
    
    while (i < max_iter && sigma_new > error_tol * error_tol * sigma_0)
    {
        ColumnVector q = A * d;
        double alpha = sigma_new / (d.transpose() * q)(0,0);
        x = x + alpha * d;
        
        if (i % 50 == 0)
        {
            r = static_cast<ColumnVector>(b - A*x);
        }else{
            r = r - alpha * q;
        }
        sigma_old = sigma_new;
        sigma_new = (r.transpose() * r)(0,0);
        double beta = sigma_new / sigma_old;
        d = r + beta * d;
        i++;
    }
    
    shared_ptr<Matrix> final_x(new Matrix(static_cast<Matrix>(x)));    
    return *final_x;
}
예제 #2
0
/* solve Ax=b using the Method of Steepest Descent. */
Matrix steepestDescent(Matrix& A, Matrix& b)
{
    // the Method of Steepest Descent *requires* a symmetric matrix.
    if (isSymmetric(A)==false)
    {
        shared_ptr<Matrix> nullMat(new Matrix(0,0));
        return *nullMat;
    }
    
    /* STEP 1: Start with a guess. Our guess is all ones. */
    ColumnVector x(A.cols());
    fill(x.begin(),x.end(),1);
    
    /* This is NOT an infinite loop. There's a break statement inside. */
    while(true)
    {
        /* STEP 2: Calculate the residual r_0 = b - Ax_0 */
        ColumnVector r =  static_cast<ColumnVector> (b - A*x);

        if (r.length() < .01) break;
        
        /* STEP 3: Calculate alpha */
        double alpha = (r.transpose() * r)(0,0) / (r.transpose() * A * r)(0,0);
                
        /* STEP 4: Calculate new X_1 where X_1 = X_0 + alpha*r_0 */
        x = x + alpha * r;
    }
    
    shared_ptr<Matrix> final_x(new Matrix(static_cast<Matrix>(x)));
    
    return *final_x;
}