Conjugate residual method

The conjugate residual method is an iterative numeric method used for solving systems of linear equations. It's a Krylov subspace method very similar to the much more popular conjugate gradient method, with similar construction and convergence properties.

This method is used to solve linear equations of the form

${\displaystyle \mathbf {A} \mathbf {x} =\mathbf {b} }$

where A is an invertible and Hermitian matrix, and b is nonzero.

The conjugate residual method differs from the closely related conjugate gradient method. It involves more numerical operations and requires more storage.

Given an (arbitrary) initial estimate of the solution ${\displaystyle \mathbf {x} _{0}}$, the method is outlined below:

${\displaystyle {\begin{aligned}&\mathbf {x} _{0}:={\text{Some initial guess}}\\&\mathbf {r} _{0}:=\mathbf {b} -\mathbf {Ax} _{0}\\&\mathbf {p} _{0}:=\mathbf {r} _{0}\\&{\text{Iterate, with }}k{\text{ starting at }}0:\\&\qquad \alpha _{k}:={\frac {\mathbf {r} _{k}^{\mathrm {T} }\mathbf {Ar} _{k}}{(\mathbf {Ap} _{k})^{\mathrm {T} }\mathbf {Ap} _{k}}}\\&\qquad \mathbf {x} _{k+1}:=\mathbf {x} _{k}+\alpha _{k}\mathbf {p} _{k}\\&\qquad \mathbf {r} _{k+1}:=\mathbf {r} _{k}-\alpha _{k}\mathbf {Ap} _{k}\\&\qquad \beta _{k}:={\frac {\mathbf {r} _{k+1}^{\mathrm {T} }\mathbf {Ar} _{k+1}}{\mathbf {r} _{k}^{\mathrm {T} }\mathbf {Ar} _{k}}}\\&\qquad \mathbf {p} _{k+1}:=\mathbf {r} _{k+1}+\beta _{k}\mathbf {p} _{k}\\&\qquad \mathbf {Ap} _{k+1}:=\mathbf {Ar} _{k+1}+\beta _{k}\mathbf {Ap} _{k}\\&\qquad k:=k+1\end{aligned}}}$

the iteration may be stopped once ${\displaystyle \mathbf {x} _{k}}$ has been deemed converged. The only difference between this and the conjugate gradient method is the calculation of ${\displaystyle \alpha _{k}}$ and ${\displaystyle \beta _{k}}$ (plus the optional incremental calculation of ${\displaystyle \mathbf {Ap} _{k}}$ at the end).

Note: the above algorithm can be transformed so to make only one symmetric matrix-vector multiplication in each iteration.