Convergence of the Conjugate Gradient Method on Singular Systems

Understand

We analyze the convergence of the Conjugate Gradient (CG) method in exact arithmetic, when the coefficient matrix $A$ is symmetric positive semidefinite and the system is consistent.

• To do so, we diagonalize $A$ and decompose the algorithm into the range and the null space components of $A$.
• Further, we apply the analysis to the CGLS and CGNE (CG Normal Error) methods for rank-deficient least squares problems.