1 function alpha = step_length_cgm(r, A, p)
3 ## Compute the step length for the conjugate gradient method (CGM).
4 ## The CGM attempts to solve,
10 ## min[phi(x) = (1/2)<Ax,x> - <b,x>]
12 ## where ``A`` is positive-definite. In the process, we need to
13 ## compute a number of search directions ``p`` and optimal step
14 ## lengths ``alpha``; i.e.,
16 ## x_{k+1} = x_{k} + alpha_{k}*p_{k}
18 ## This function computes alpha_{k} in the formula above.
22 ## - ``r`` -- The residual, Ax - b, at the current step.
24 ## - ``A`` -- The matrix ``A`` in the formulation above.
26 ## - ``p`` -- The current search direction.
30 ## - ``alpha`` -- The minimizer of ``f(x) = x + alpha*p`` along ``p`.
34 ## All vectors are assumed to be *column* vectors.
37 ## A simple calculation should convince you that the gradient of
38 ## phi(x) above is Ax - b == r.
39 alpha = step_length_positive_definite(r, A, p);