Hi,

I wrote a buit-in MINRES solver for Eigen, which can be found at:
https://bitbucket.org/gpo/eigen-minres/ ... s/MINRES.h

I basically copied the ConjugateGradient class and changed the underlying algorithm. The solver is working but it still misses the use of the preconditioner because I'm not sure how the preconditioned algorithm looks like.

Does anybody have a reference for the preconditioned MINRES algorithm?

Thanks.

I found it. For the record:
Greenbaum, A. (1987). Iterative Methods for Solving Linear Systems (1st ed.). SIAM, p122.

Working on my Eigen implementation now.

By the way, the reason for MINRES is that I tried BiCGSTAB on an indefinite KKT matrix and I just couldn't make it converge. Unpreconditioned MINRES converged very quickly on the same matrix.