From: Bjørn Rustad <bjorn@rustad.me>
Date: Fri, 9 Mar 2012 10:13:46 +0000 (+0100)
Subject: Add code for CG and SR1 method
X-Git-Url: http://git.rustad.me/?a=commitdiff_plain;h=33f2904340d5f8286f895dfb26ab1904c4b9ad3c;p=optimering

Add code for CG and SR1 method
---

diff --git a/CG.m b/CG.m
new file mode 100644
index 0000000..ea8fb5f
--- /dev/null
+++ b/CG.m
@@ -0,0 +1,12 @@
+% Standard CG
+x = zeros(size(b)); g = -b ; p = -g; 
+
+% Iteration
+for loop = 1:nsim
+	Ap = A*p;
+	alfa = -(p'*g)./(p'*Ap);
+	x = x + alfa*p;
+	g = g + alfa*Ap; % g = A*x-b;
+	beta = (g'*Ap)./(p'*Ap);
+	p = -g + beta*p;
+end; 
diff --git a/SR1.m b/SR1.m
new file mode 100644
index 0000000..aeb8352
--- /dev/null
+++ b/SR1.m
@@ -0,0 +1,16 @@
+% Initialization:
+x = 0 ; g = -b;
+B = eye(ndim); H = B;
+
+% Primitive SR1 iterasjon
+for loop = 1:nsim
+	p = -H*g;
+	x = x + p;
+	y = -g;
+	g = A*x-b;
+	y = g + y;
+	v = y - B*p;
+	B = B + v*v'/(v'*p);
+	w = p - H*y;
+	H = H + w*w'/(w'*y);
+end