A Modified Conjugate Gradient Algorithm

Abstract

W E PRESENT a modification of the Fletcher-Reeves (FRCG) conjugate gradient algorithm [3]. This modification results in a more stable computational performance than the ones exhibited by either FRCG or PRCG (Polak-Ribiere conjugate gradient algorithm [7, 10]). We attribute this stable behavior to the modification proposed here, which incorporates one of the most important features of the quasi-Newton algorithm into the conjugate gradient procedure (this feature is missing in FRCG and PRCG) without increasing storage requirements. We shall present the motivation for the modification and support these arguments by a sample of encouraging computational results.