A robust incomplete Choleski‐conjugate gradient algorithm

When applied to large sparse sets of simultaneous equations, classical iterative methods may yield very poor convergence rates. This paper gives an incomplete Choleski‐conjugate gradient algorithm (ICCG) which has reliably good convergence rates at the expense of computing and using at each iteration an incomplete Choleski factor of the coefficient matrix. The method is applicable to any problems in which the coefficient matrix is symmetric positive definite and is likely to be advantageous with respect to elimination when it is not possible to represent the equations in a dense band form.