Iteratively Constructing Preconditioners via the Conjugate Gradient Method

We consider the problem of solving a symmetric, positive definite system of linear equations. The most well-known and widely-used method for solving such systems is the preconditioned Conjugate Gradient method. The performance of this method depends crucially on knowing a good preconditioner matrix. We show that the Conjugate Gradient method itself can produce good preconditioners as a by-product. These preconditioners allow us to derive new asymptotic bounds on the time to solve multiple related linear systems.