On the preconditioned conjugate gradient method for solving (A – λB)X =0

Abstract

AbstractClassical iterative methods when applied to the partial solution of the generalized eigenvalue problem Ax =λBx, may yield very poor convergence rates particularly when ill‐conditioned problems are considered. In this paper the preconditioned conjugate gradient (CG) method via the minimization of the Rayleigh quotient and the reverse power method is employed for the partial eigenproblem. The triangular splitting preconditioners employed are obtained from an incomplete Choleski factorization and a partial Evans preconditioner. This approach can dramatically improve the convergence rate of the basic CG method and is applicable to any symmetric eigenproblem in which one of the matrices A, B is positive definite. Because of the renewed interest in CG techniques for FE work on microprocessors and parallel computers, it is believed that this improved approach to the generalized eigenvalue problem is likely to be very promising.