On the weekend I read—at Lang's suggestion—An Introduction to the Conjugate Gradient Method Without the Agonizing Pain (PDF) by Richard Shewchuk (Berkeley). It made me infintely powerful, because now I can do gradient descent and conjugate gradient effortlessly. I wrote the relevant functions for my project with Tsalmantza. Shewchuk's document contains much knowledge, beautifully expressed. You must read it!
Thanks! I've been looking for something like this. I need to use conjugate gradient to speed up some Gaussian processes code. I've found a John Skilling paper on the topic but as is John's style, it's not really beginner-friendly. We'll see how this goes.
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