Derivation of The Method
The conjugate gradient method can be derived from several different perspectives, including specialization of the conjugate direction method for optimization, and variation of the Arnoldi/Lanczos iteration for eigenvalue problems. Despite differences in their approaches, these derivations share a common topic—proving the orthogonality of the residuals and conjugacy of the search directions. These two properties are crucial to developing the well-known succinct formulation of the method.
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“The method of scientific investigation is nothing but the expression of the necessary mode of working of the human mind. It is simply the mode in which all phenomena are reasoned about, rendered precise and exact.”
—Thomas Henry Huxley (1825–95)