2.

2 JACOBI ITERATION

We write the system as in (4) of section 2.1 as

a11 x1 = −a12 x2 − a13 x3 ..... − a1n xn + y1

a 22 x2 = −a 21 x1 − a 23 x3 ..... − a 2 n xn + y 2 . . . . . . . .(11)
...... ...... ......
a nn xn = −a n1 x1 − a n 2 x2 ..... − a nn−1 x n−1 + y n

We start with an initial vector,

 x1(0) 
 (0) 
=  2  . . . . . . . .(12)
x
x(
0)
 M 
 (0) 
 xn 

and substitute this vector for x in the RHS of (11) and calculate x1,x2, ….., xn and this
vector is called x(1). We now substitute this vector in the RHS of (11) to calculate again
x1, x2, ….., xn and call this new vector as x(2) and continue this procedure to calculate the
sequence {x (k) } . Thus,

The equation (11) can be written as,

Dx = - (L + U) x + y …………………. (13)

which we can write as

x = -D-1 (L+U) x +D-1 y,

giving
x = J x + yˆ ……………… (14)

where

J = -D-1 (L + U) …………….(15)

and, we get

x(0) starting vector

…………….(16)
(k−1)
x = Jx
(k )
+ yˆ for k =1,2,........

57
as the iterative scheme. This is similar to (2 in section 2.1) with the iterating matrix M as
J = -D-1 (L + U); J is called the Jacobi Iteration Matrix. The scheme will converge to the
solution x of our system if J sp < 1 . We shall see an easier condition below:
We have

 1 
 a11 
 1 
-1  a22 
D = 
 O 
 1 

 ann 

and therefore

 0 −
a12
−
a13
.... −
a1n 
 a11 a11 a11 
 
 − a21 a23 a2n 
0 − .... −
J = −D ( L + U ) = 
−1 a22 a22 a22 
 .... .... .... .... .... 
 
 − an1 a
− n2 −
an,n−1
0 
 ....
 ann ann ann 

Now therefore the ith Absolute row sum for J is

Ri = ∑
aij
=
(a i1 + ai 2 + .... + ai ,i −1 + ai ,i +1 + .... + ain )
j ≠i aii aii

∴ If Ri <1 for every i =1,2,3,…..,n

then

J ∞
= max{R1 ,....., Rn } < 1

and we have convergence.

Now Ri < 1 means

58
 ai1 + ai 2 + ..... + ai ,i −1 + ai ,i +1 + ..... + ain < aii

i.e. in each row of A the sum of the absolute values of the non diagonal entries is
dominated by the absolute value of the diagonal entry (in which case A is called ‘strictly
row diagonally dominant’). Thus the Jacobi iteration scheme for the system (3)
converges if A is strictly row diagonally dominant (Of course, this condition may not be
satisfied) and still Jacobi iteration scheme may converge if J sp < 1.

Example 1:

Consider the system

x1 + 2x2 – 2x3 = 1
x1 + x2 + x3 = 0 ………….(I)
2x1 + 2x2 + x3 = 0

Let us apply the Jacobi iteration scheme with the initial vector as

0
 
x (0)
= θ = 0 ………….(II)
0
 
1 2 − 2 1 0 0
   
We have A =  1 1 1  ; D = 0 1 0
2 1  0 1 
 2  0

0 2 − 2 1
   
L +U = 1 0 1  ; y =  0
2 0   0
 2  

 0 − 2 + 2 1
   
J = − D −1 (L + U ) =  − 1 0 − 1  ;
−1
yˆ = D y =  0 
− 2 − 2 0   0
   

Thus the Jacobi scheme (16) becomes

0
(0 )  
x = 0
0
 

59
 x( ) = Jx(
k−1)
+ yˆ,
k
k = 1, 2,.......

1
(1)  
( 0)
∴ x = Jx + yˆ = yˆ =  0  since x (0) is the zero vector.
 0
 

 0 − 2 + 2  1   1 
(2 ) (1)     
x = Jx + yˆ =  − 1 0 − 1  0  +  0 
 − 2 − 2 0  0   0 
    

 0  1  1 
     
=  − 1 +  0 =  − 1 
 − 2  0  − 2
     

 0 − 2 2  1   1 
(3 ) (2 )     
x = Jx + yˆ =  − 1 0 − 1 − 1  +  0 
 − 2 − 2 0  − 2   0 
    

 − 2   1   − 1
     
=  1  +  0 =  1 
 0   0  0 
     

 0 − 2 2  − 1  1 
    
x (4 ) = Jx (3) + yˆ =  − 1 0 − 1 1  +  0 
 − 2 − 2 0  0   0 
    

 − 2   1   − 1
     
=  1  +  0  =  1  = x (3 )
 0  0  0 
     

∴ x(4) = x(5) = x(6) = ………. = x(3)

∴ x(k) = x(3) and x(k) converges to x(3)

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∴ The solution is

 −1
(k) (3)  
x = lim x =x = 1 
k →∞
0
 

We can easily check that this is the exact solution.

Here, there is no convergence problem at all.

Example 2:

8x1 + 2x2 – 2x3 = 8

x1 - 8x2 + 3x3 = 19
2x1 + x2 + 9x3 = 30
 0
 
Let us apply Jacobi iteration scheme starting with x (0 ) =  0
 0
 

 1 0 0 
 8 0 0  8 
 
We have D =  0 − 8 0 ∴ D −1 = 0 −1 0 
 8 
0 0 9 
  0 0 1 
 9

 0 − 0.25
+ 0.25 
 
J = − D −1 (L + U ) =  + 0.125 0.375 
0
 − 0.22222 − 0.11111 0 


 1 
−1
 
yˆ = D y =  − 2 .375 
 3.33333 
 

Now the matrix is such that

a11 = 8 and a12 + a13 = 2 + 2 = 4 ∴ a 11 > a 12 + a13

a22 = 8 and a21 + a23 = 1 + 3 = 4; ∴ a 22 > a 21 + a 23

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a33 = 9 and a31 + a32 = 2 + 1 = 3 ∴ a 33 > a 31 + a 32

Thus we have strict row diagonally dominant matrix A. Hence the Jacobi iteration
scheme will converge. The scheme is,
 0
 
x 0 =  0
 0
 
x ( k ) = Jx ( k −1) + yˆ

 0 − 0.25 0.25 
 
=  0.125 0 0.375  x ( k −1) + yˆ
 − 0.22222 − 0.11111 0 


 1 
(1)  
x = yˆ =  − 2 .375 
 3 .33333 
 

We continue the iteration until the components of x(k) and x(k+1) differ by at most, say;
3x10-5 , that is, x ( k +1 ) − x ( k ) ≤ 3 x10 − 5 , we get x (1) − x (0 ) = 3 .33333 . So we
∞ ∞

continue

 2.42708 
(2 ) (1)  
x = Jx + yˆ =  − 1.00000  x (2 ) − x (1 ) = 1.42708 ≥∈
∞
 3.37500 
 

 2 .09375 
(3 ) (2 )  
x = Jx + yˆ =  − 0 .80599 ; x (3 ) − x ( 2 ) = 0.46991 ≥∈
∞
 2 .90509 
 

 1 .92777 
(4 ) (3 )  
x = Jx + yˆ =  − 1 .02387 ; x ( 4 ) − x (3 ) = 0 .21788 ≥∈
∞
 2 .95761 
 

62
  1 .99537 
(5 ) (4 )  
x = Jx + yˆ =  − 1 .02492 ; x (5 ) − x ( 4 ) = 0 .06760 ≥∈
∞
 3 .01870 
 

 2 .01091 
(6 )  
x = Jx (5 ) + yˆ =  − 0 .99356 ; x ( 6 ) − x (5 ) = 0.03136 ≥∈
∞
 3 .00380 
 

 1 .99934 
(7 ) (6 )  
x = Jx + yˆ =  − 0 .99721 ; x ( 7 ) − x (6 ) = 0 .01157 ≥∈
∞
 2 .99686 
 

 1 .99852 
(8 )  
x = Jx (7 ) + yˆ =  − 1 .00126 ; x (8 ) − x ( 7 ) = 0 .00405 ≥∈
∞
 2 .99984 
 

 2 .00027 
(9 ) (8 )  
x = Jx + yˆ =  − 1 .00025 ; x (9 ) − x (8 ) = 0 .00176 ≥∈
∞
 3 .00047 
 

 2 .00018 
 
x (10 ) = Jx (9 ) + yˆ =  − 0 .99979 ; x (10 ) − x (9 ) = 0 .00050 ≥∈
∞
 2 .99997 
 

 1 .99994 
(11 ) (10 )   ( ) ( )
x = Jx + yˆ =  − 0 .99999 ; x 11 − x 10 = 0 .00024 ≥∈
∞
 2 .99994 
 

 1 .99998 
(12 ) (11 )  
x = Jx + yˆ =  − 1 .00003 ; x (12 ) − x (11 ) = 0 .00008 ≥∈
∞
 3 .00001 
 

63
  2 .00001 
(13 ) (12 )  
x = Jx + yˆ =  − 1 .00000 ; x (13 ) − x (12 ) = 0 .00003 =∈
∞
 3 .00001 
 

Hence the solution is x1=2 ; x2=-1, x3=3.00001

(The Exact solution is x1 = 1, x2 = -2, x3 =3).

64