// Scilab ( http://www.scilab.org/ ) - This file is part of Scilab // Copyright (C) 2013 - Scilab Enterprises - Paul Bignier // // This file must be used under the terms of the CeCILL. // This source file is licensed as described in the file COPYING, which // you should have received as part of this distribution. The terms // are also available at // http://www.cecill.info/licences/Licence_CeCILL_V2.1-en.txt // // cgs -- // CGS solves the linear system %Ax=b using the Conjugate Gradient Squared method. // If M is given, it is used as a preconditionning matrix. // If both M and M2 are given, the matrix M * M2 is used as a preconditionning // matrix. // // input %A REAL matrix or a function y=Ax(x) which computes y=%A*x for a given x // b REAL right hand side vector // tol, optional REAL error tolerance (default: 1e-8) // maxIter, optional INTEGER maximum number of iterations (default: size(%b)) // %M, optional REAL preconditioner matrix (default: none) // %M2, optional REAL preconditioner matrix (default: none) // x0, optional REAL initial guess vector (default: the zero vector) // verbose, optional INTEGER set to 1 to enable verbose logging (default : 0) // // output x REAL solution vector // resNorm REAL final relative norm of the residual // iter INTEGER number of iterations performed // resVec REAL residual vector // // References // // "CGS, A Fast Lanczos-Type Solver for Nonsymmetric Linear systems" // by Peter Sonneveld // // http://epubs.siam.org/doi/abs/10.1137/0910004 // http://dl.acm.org/citation.cfm?id=64888&preflayout=flat // http://mathworld.wolfram.com/ConjugateGradientSquaredMethod.html // // Notes // This script was originally a matlab > scilab translation of the cgs.m // script from http://www.netlib.org/templates/matlab // // The input / output arguments of this command are the same as Matlab's cgs command. // function [x, resNorm, iter, resVec] = %cgs(%A, %b, tol, maxIter, %M, %M2, x0, verbose ) // Initialization bnrm2 = norm(%b); if (verbose==1) then printf(gettext("Norm of right-hand side : %s\n"), string(bnrm2)); end if (bnrm2 == 0) then if (verbose==1) then printf(gettext("Special processing where the right-hand side is zero.\n")); end // When rhs is 0, there is a trivial solution : x=0 x = zeros(%b); resNorm = 0; resVec = resNorm; else x = x0; // r = %b - %A*x; if (matrixType ==1), r = %b - %A*x; r2 = r; else r = %b - %A(x,Aargs(:)); r2 = r; end resNorm = norm(r) / bnrm2; resVec = resNorm; end if (verbose==1) then printf(gettext(" Type of preconditionning #1 : %d\n"),precondType); printf(gettext(" Type of preconditionning #2 : %d\n"),precondBis); end // begin iteration // Distinguish the number of iterations processed from the currentiter index iter = 0 for currentiter = 1:maxIter if (resNorm <= tol) then if (verbose==1) then printf(gettext(" New residual = %s < tol = %s => break\n"),string(resNorm),string(tol)); end break; end iter = iter + 1 if (verbose==1) then printf(gettext(" Iteration #%s/%s residual : %s\n"),string(currentiter),string(maxIter),string(resNorm)); printf(" x=\n"); disp(x); end rho = r2'*r; if (rho == 0) then break; end if (currentiter > 1) then bet = rho / rho_old; u = r + bet*q; p = u + bet*(q+bet*p); else u = r; p = u; end // Solve M M2 P = p if %M == [] & %M2 == [] then P = p; elseif %M2 == [] then // Compute P so that M P = p if (precondType == 1) then P = %M \ p; elseif (precondType == 2) then P = %M(p,Margs(:)); else P = p; end else // Compute P so that M M2 P = p if (precondBis == 1) then P = %M \ p; P = %M2 \ p; elseif (precondBis == 2) then P = %M(p,Margs(:)); P = %M2(p,M2args(:)); else P = p; end end // v = %A*P; if (matrixType ==1), v = %A*P; else v = %A(P); end alp = rho / (r2'*v); q = u - (alp*v); // Solve M M2 u = u+q uq = u + q; if %M == [] & %M2 == [] then U = uq; elseif %M2 == [] then // Compute Q so that M U = u+q if (precondType == 1) then U = %M \ uq; elseif (precondType == 2) then U = %M(uq,Margs(:)); else U = uq; end else // Compute z so that M M2 U = u+q if (precondBis == 1) then U = %M \ uq; U = %M2 \ uq; elseif (precondBis == 2) then U = %M(uq,Margs(:)); U = %M2(uq,M2args(:)); else U = uq; end end x = x + alp*U; // U = %A*U; if (matrixType ==1), U = %A*U; else U = %A(U); end r = r - alp*U; resNorm = norm(r) / bnrm2; // Caution : transform the scalar resVec into vector resVec ! resVec = [resVec;resNorm]; rho_old = rho; end // test for convergence if (resNorm > tol) then if (verbose==1) then printf(gettext("Final residual = %s > tol =%s\n"),string(resNorm),string(tol)); printf(gettext("Algorithm fails\n")); end flag = 1; if (lhs < 2) then warning(msprintf(gettext("%s: Convergence error.\n"),"cgs")); end else flag = 0; if (verbose==1) then printf(gettext("Algorithm pass\n")); end end endfunction