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tvercaut / LSQR-cpp

This is a c++ port initially performed by Luis Ibanez of the LSQR library of Chris Paige and Michael Saunders. The same methodology was applied to the LSMR library of David Fong and Michael Saunders.
BSD 3-Clause "New" or "Revised" License
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Implement a Solve function that can take an initial estimate as input #1

Open tvercaut opened 8 years ago

tvercaut commented 8 years ago

As per the lsmr documentation:

 * Note that x is not an input parameter.
 * If some initial estimate x0 is known and if damp = 0,
 * one could proceed as follows:
 *
 * 1. Compute a residual vector     r0 = b - A*x0.
 * 2. Use LSMR to solve the system  A*dx = r0.
 * 3. Add the correction dx to obtain a final solution x = x0 + dx.
tvercaut commented 8 years ago

Quick and dirty python implementation: 

def lsmr_with_init(A,b,x0):
    r0 = b - scipy.sparse.linalg.aslinearoperator(A).matvec(x0)
    deltax_pack = scipy.sparse.linalg.lsmr(A,r0)
    return x0 + deltax_pack[0]

Note however that it makes it more difficult to handle both initialisation and damping.