The Lanczos and conjugate gradient algorithms in finite precision arithmetic

• ID: 2776, RIV: 10361177
• ISSN: 0962-4929, ISBN: not specified
• source: Acta Numerica
• keywords:
• authors: Zdeněk Strakoš, Gérard Meurant
• authors from KNM: Strakoš Zdeněk

Abstract

The Lanczos and conjugate gradient algorithms were introduced more than five decades ago as tools for numerical computation of dominant eigenvalues of symmetric matrices and for solving linear algebraic systems with symmetric positive definite matrices, respectively. Because of their fundamental relationship with the theory of orthogonal polynomials and Gauss quadrature of the Riemann-Stieltjes integral, the Lanczos and conjugate gradient algorithms represent very interesting general mathematical objects, with highly nonlinear properties which can be conveniently translated from algebraic language into the language of mathematical analysis, and vice versa. The algorithms are also very interesting numerically, since their numerical behaviour can be explained by an elegant mathematical theory, and the interplay between analysis and algebra is useful there too. Motivated by this view, the present contribution wishes to pay a tribute to those who have made an understanding of the Lanczos and conjugate gradient algorithms possible through their pioneering work, and to review recent solutions of several open problems that have also contributed to knowledge of the subject.