We show that memory-augmented Transformers (Memformers) can implement linear first-order optimization methods such as conjugate gradient descent, momentum methods, and more generally, methods that linearly combine past gradients. Building on prior work that demonstrates how Transformers can simulate preconditioned gradient descent, we provide theoretical and empirical evidence that Memformers can learn more advanced optimization algorithms. Specifically, we analyze how memory registers in Memformers store suitable intermediate attention values allowing them to implement algorithms such as conjugate gradient. Our results show that Memformers can efficiently learn these methods by training on random linear regression tasks, even learning methods that outperform conjugate gradient. This work extends our knowledge about the algorithmic capabilities of Transformers, showing how they can learn complex optimization methods.