Tuesday, 5 June 2007

linear algebra - Conjugate Gradient for a "slightly" singular system.

Suppose I have a symmetric NtimesN matrix A which has a one-dimensional Nullspace N. A is positive definite on Nbot. In my case N is the space of constant vectors (i.e. generated by the all-one vector).



I have to solve the problem Ax=b, with binR(A) which has infinitely many solutions. I am looking for the minimum norm solution. The matrix A is very large and sparse, direct methods aren't really an option. The rank-deficient least squares algorithms I have seen also appear to be prohibitive.



I was solving a non-singular version of this problem with Conjugate Gradient. Is there anyway I can modify the algorithm to solve this particular problem?



EDIT: Boiling the problem down to the bone the question is if A is positive semi-definite with exactly one 0 eigenvalue, does CG work?



Thanks.

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