Eigen::LeastSquaresConjugateGradient< _MatrixType, _Preconditioner > Class Template Reference

A conjugate gradient solver for sparse (or dense) least-square problems. More...

#include <LeastSquareConjugateGradient.h>

Public Types
typedef _MatrixType	MatrixType
typedef MatrixType::Scalar	Scalar
typedef MatrixType::RealScalar	RealScalar
typedef _Preconditioner	Preconditioner

Public Member Functions
	LeastSquaresConjugateGradient ()
template<typename MatrixDerived >
	LeastSquaresConjugateGradient (const EigenBase< MatrixDerived > &A)
template<typename Rhs , typename Dest >
void	_solve_vector_with_guess_impl (const Rhs &b, Dest &x) const

Detailed Description

template<typename _MatrixType, typename _Preconditioner>
class Eigen::LeastSquaresConjugateGradient< _MatrixType, _Preconditioner >

A conjugate gradient solver for sparse (or dense) least-square problems.

This class allows to solve for A x = b linear problems using an iterative conjugate gradient algorithm. The matrix A can be non symmetric and rectangular, but the matrix A' A should be positive-definite to guaranty stability. Otherwise, the SparseLU or SparseQR classes might be preferable. The matrix A and the vectors x and b can be either dense or sparse.

Template Parameters

_MatrixType	the type of the matrix A, can be a dense or a sparse matrix.
_Preconditioner	the type of the preconditioner. Default is LeastSquareDiagonalPreconditioner

\implsparsesolverconcept

The maximal number of iterations and tolerance value can be controlled via the setMaxIterations() and setTolerance() methods. The defaults are the size of the problem for the maximal number of iterations and NumTraits<Scalar>::epsilon() for the tolerance.

This class can be used as the direct solver classes. Here is a typical usage example:

int m=1000000, n = 10000;
VectorXd x(n), b(m);
SparseMatrix<double> A(m,n);
// fill A and b
LeastSquaresConjugateGradient<SparseMatrix<double> > lscg;
lscg.compute(A);
x = lscg.solve(b);
std::cout << "#iterations:     " << lscg.iterations() << std::endl;
std::cout << "estimated error: " << lscg.error()      << std::endl;
// update b, and solve again
x = lscg.solve(b);

By default the iterations start with x=0 as an initial guess of the solution. One can control the start using the solveWithGuess() method.

See also

class ConjugateGradient, SparseLU, SparseQR

Constructor & Destructor Documentation

LeastSquaresConjugateGradient() [1/2]

template<typename _MatrixType , typename _Preconditioner >

Eigen::LeastSquaresConjugateGradient< _MatrixType, _Preconditioner >::LeastSquaresConjugateGradient ( )

inline

Default constructor.

LeastSquaresConjugateGradient() [2/2]

template<typename _MatrixType , typename _Preconditioner >

template<typename MatrixDerived >

Eigen::LeastSquaresConjugateGradient< _MatrixType, _Preconditioner >::LeastSquaresConjugateGradient ( const EigenBase< MatrixDerived > &  A )

inlineexplicit

Initialize the solver with matrix A for further Ax=b solving.

This constructor is a shortcut for the default constructor followed by a call to compute().

Warning

this class stores a reference to the matrix A as well as some precomputed values that depend on it. Therefore, if A is changed this class becomes invalid. Call compute() to update it with the new matrix A, or modify a copy of A.

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The documentation for this class was generated from the following file:

• LeastSquareConjugateGradient.h