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Sec 6-6 PDF
Sec 6-6 PDF
Rewrite Ax = b as
Nx = b + P x (1)
with A = N − P a splitting of A. Choose N to be
nonsingular. Usually we want N z = f to be easily
solvable for arbitray f . The iteration method is
0 − 19 − 19
2 3
M = − 10 0 − 10
3 −4
− 11 0
11
7 .
kM k = = 0.636
11
This is consistent with the earlier table of values, al-
though the actual convergence rate was better than
predicted by (3).
EXAMPLE. For the earlier example with the Gauss-
Seidel method,
· ¸
(k+1) (k) (k)
x1 = 19 b1 − x2 − x3
· ¸
(k+1) 1 b − 2x (k+1) (k)
x2 = 10 2 1 − 3x3
· ¸
(k+1) 1 b − 3x(k+1) − 4x(k+1)
x3 = 11 3 1 2
−1
9 0 0 0 −1 −1
M = 2 10 0 0 0 −3
3 4 11 0 0 0
0 − 19 − 19
1 5
= 0 45 − 18
1
0 45 13
99
kMk = 0.3
This too is consistent with the earlier numerical re-
sults.
DIAGONALLY DOMINANT MATRICES
N e(k+1) = P e(k)
and write it in component form for the Gauss-Seidel
method:
i
X Xn
(k+1) (k)
ai,j ej =− ai,j ej , 1≤i≤n
j=1 j=i+1
i−1
X ai,j (k+1) Xn a
(k+1) i,j (k)
ei =− ej − ej (5)
a
j=1 i,i a
j=i+1 i,i
Introduce
i−1
¯ ¯ ¯
n ¯a ¯
¯
X ¯¯ ai,j ¯¯ X ¯ i,j ¯
αi = ¯ ¯, βi = ¯ ¯, 1≤i≤n
¯ ai,i ¯ ¯ ai,i ¯
j=1 j=i+1
with α1 = β n = 0. Taking bounds in (5),
¯ ¯ ° ° ° °
¯ (k+1)¯
¯e ¯ ≤ α °e(k+1)° + β °e(k)°
° ° °
°, i = 1, ..., n (6)
¯ i ¯ i i
° ° β ° °
° (k+1)° ° (k)°
°e °≤ °e °
1−α
Define
βi
η = max
i 1 − αi
Then
° ° ° °
° (k+1)° ° (k)°
°e ° ≤ η °e °
For A diagonally dominant, it can be shown that
η ≤ kMk (7)
where kM k is for the definition of M for the Jacobi
method, given earlier in (4) as
n
¯ ¯
X ¯ ai,j ¯¯
¯
kM k = max ¯ ¯ = max (αi + β i) < 1
1≤i≤n ¯ ai,i ¯ 1≤i≤n
j=1
j6=i
Consequently, for A diagonally dominant, the Gauss-
Seidel method also converges and it does so more
rapidly than the Jacobi method in most cases.
Since
kMk = kN −1P k ≤ kN −1k kP k,
kMk < 1 is satisfied if N satisfies
kN −1k kP k < 1
Using P = N − A, this can be rewritten as
1
kA − N k <
kN −1k
We also want to choose N so that systems N z = f
is ‘easily solvable’.
r(0) = b − Ax(0)
Since Ax = b for the true solution x,
r(0) = Ax − Ax(0)
= A(x − x(0)) = Ae(0)
with e(0) = x − x(0). Let ê(0) be the solution of
N ê(0) = r(0)
and then define
For k = 0, 1, . . . , define
r(k) = b − Ax(k)
N ê(k) = r(k)
x(k+1) = x(k) + ê(k)
This is the general residual correction method.