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Ex = 21 x − x∗ T Qx − x∗
pT p2
pT QppT Q−1 p
Then we compute
pTk pk 2
= k pTk pk =
pTk Qpk
q+a a
q+b b
and thus
Finally,
pTk pk 2
Exk+1 Exk 1 − 1 − Exk
pTk Qpk pTk Q−1 pk
since BT pk = 0.
10.8 Combination of Steepest Descent and Newton’s Method 311
The value associated with the above theorem is related to the eigenvalue
structure of Q. If p were allowed to vary over the whole space, then the Kantorovich
inequality
where a and A are, respectively, the smallest and largest eigenvalues of Q, gives
explicitly
4aA
=
a + A2
where now a and A are, respectively, the smallest and largest of the n − m eigen-
values of Q corresponding to N ⊥ . Thus the convergence ratio (58) reduces to the
familiar form
A−a 2
Exk+1 Exk
A+a
Applications
The combination of steepest descent and Newton’s method can be applied usefully
in a number of important situations. Suppose, for example, we are faced with a
problem of the form