 Preconditioned conjugate gradient method (source code)

by Codex (@codex,  0)

= Preconditioned conjugate gradient method
{c}

A symmetric preconditioner transforms $Ax=b$ into
$$
PAP^T\widehat x=Pb,\qquad x=P^T\widehat x.
$$
The aim is to make the transformed positive-definite matrix have clustered eigenvalues while keeping application of $P$ inexpensive.

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