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Lecture03 - Iterative Methods

This document discusses iterative methods for solving systems of linear equations, specifically the Jacobi and Gauss-Seidel methods. It provides examples of using Gauss-Seidel to solve a system of 3 equations in 3 unknowns. The objectives are to introduce iterative methods and describe the Jacobi and Gauss-Seidel algorithms. Gauss-Seidel is described as the most commonly used iterative method and its procedure is outlined in steps. Convergence criteria for Gauss-Seidel and techniques for relaxation are also summarized.

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Na2ry
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124 views

Lecture03 - Iterative Methods

This document discusses iterative methods for solving systems of linear equations, specifically the Jacobi and Gauss-Seidel methods. It provides examples of using Gauss-Seidel to solve a system of 3 equations in 3 unknowns. The objectives are to introduce iterative methods and describe the Jacobi and Gauss-Seidel algorithms. Gauss-Seidel is described as the most commonly used iterative method and its procedure is outlined in steps. Convergence criteria for Gauss-Seidel and techniques for relaxation are also summarized.

Uploaded by

Na2ry
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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MTH2212 – Computational Methods and

Statistics

Solution of Linear System of Equations

Lecture 3:
Iterative Methods
Objectives

 Introduction
 Jacobi Method
 Gauss-Seidel Method

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 2


Introduction

 To solve the linear system Ax = b we may use either:


 Direct Methods
- Gaussian elimination

- PLU decomposition

 Iterative Methods
- Jacobi Method

- Gauss-Seidel Method

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 3


Iterative Methods

 Suppose we solve Ax = b for a given matrix A by finding the


PLU decomposition
 If we change the vector b, we may continue to use the PLU
 If we change A, we now have to re-compute the PLU
decomposition: expensive

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 4


Iterative Methods

 Instead, suppose we have solved the system


Ax = b
for a given matrix A
 Suppose we change A slightly, e.g., modify a single resistor
in a circuit
 If we call that new matrix Amod, is it possible to use the
solution to Ax = b to solve Amodx = b?

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 5


Iterative Methods

 They provide an alternative to the elimination method.

 Let Ax = b be the set of equations to be solved.

 The system Ax = b is reshaped by solving the first equation


for x1, the second equation for x2, and the third for x3, …and
nth equation for xn.

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 6


Iterative Methods

 For ease of computation, let’s assume we have a 3x3 system


of equations to solve.
a11 x1  a12 x 2  a13 x3  b1

a21 x1  a22 x2  a 23 x3  b2
a x  a x  a x  b
 31 1 32 2 33 3 3
 If the diagonal elements are all non-zero then:
b1  a12 x2  a13 x3
x1 
a11
b2  a21 x1  a 23 x3
x2 
a 22
b3  a31 x1  a32 x 2
x3 
a33

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 7


Jacobi Iteration Method

1. Assume all the x’s are zero


2. Substitute the zeros into the three equations to get:
b1 b2 b3
x1  x2  x3 
a11 a22 a33
3. Repeat the procedure until the error criterion is satisfied:
i 1 b1  a12 x2i  a13 x3i
x1 
a11
x ij  x ij1
i 1 b2  a21 x1i  a23 x3i a, j   100%   s
x 2  x i
a22 j

i 1 b3  a31 x1i  a32 x2i


x3 
a33

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 8


Gauss-Seidel Method

 It is the most commonly used iterative method.

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 9


Gauss-Seidel Procedure

1. Assume all the x’s are zero


2. Substitute the zeros into the first equation i.e. equation (1)
to give: b
x1  1
a11

3. Substitute the new value of x1 and x3 = 0 into equation (2) to


compute x2
4. Substitute the value of x1 and the new value of x2 in
equation (3) to estimate x3

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 10


Gauss-Seidel Procedure

5. Return to equation (1) and repeat the entire procedure until


the error criterion is satisfied:
i 1 b1  a12 x2i  a13 x3i
x
1 
a11
i 1 b2  a21 x1i 1  a23 x3i
x2 
a22
i 1 b3  a31 x1i 1  a32 x2i 1
x
3 
a33
x ij  x ij1
a, j  i
 100%   s
x j

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 11


Example 1

Use Gauss-Seidel method to solve the following set of


linear equations:

3x1 – 0.1x2 – 0.2x3 = 7.85 (1)

0.1x1 + 7x2 – 0.3x3 = -19.3 (2)

0.3x1 – 0.2x2 + 10x3 = 71.4 (3)

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 12


Example 1 - Solution

 First we have:
7.85  0.1x 2  0.2 x3
x1 
3
 19.3  0.1x1  0.3 x3
x2 
7
71.4  0.3 x1  0.2 x 2
x3 
10

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 13


Example 1 - Solution

 1st iteration
 Assume that x2 = 0 and x3 = 0, we obtain
7.85
x1   2.616667
3
 Substitute x1 = 2.616667 and x3 = 0 into equation (2)
 19.3  0.1(2.616667)  0
x2   2.794524
7
 Substitute x1 = 2.616667 and x2 = -2.794524 into equation (3)
71.4  0.3( 2.616667 )  0.2( 2.794524)
x3   7.005610
10
 This completes the first iteration

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 14


Example 1 - Solution

 2nd iteration

7.85  0.1(2.79454)  0.2(7.005610)


x1   2.990557
3
 19.3  0.1(2.990557 )  0.3(7.005610)
x2   2.499625
7

71.4  0.3(2.990557)  0.2(2.499625)


x3   7.000291
10

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 15


Example 1 - Solution

 Error estimate
 For x1
2.990557  2.6166667
 a ,1  100%  12.5%
2.990557
 For x2
 2.499625  (2.794524)
 a,2  100%  11 .8%
2.499625
 For x3
7.000291  7.005610
 a ,3  100%  0.07%
7.000291

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 16


Convergence

 Gauss-Seidel is similar in spirit to the simple fixed-point


iteration.
 Gauss-Seidel will converge if for every equation of the
system, we have: n
aii   aij
j 1
j i
 Such system is said to be diagonally dominant.
 This criterion is sufficient but not necessary for
convergence.

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 17


Relaxation

 Designed to Enhance convergence.

 After each new value of x is computed, that value is


modified using:
xinew  xinew  1    xiold
Where 0    2 is a weighting factor.

 The choice of  is problem-specific and is often determined


empirically.

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 18


Gauss-Seidel/Jacobi Iteration Methods

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 19


Gauss-Seidel/Jacobi Iteration Methods

 Gauss-Seidel iteration converges more rapidly than the


Jacobi iteration does; since, it uses the latest updates.
 But there are some cases that Jacobi iteration does converge
but Gauss-Seidel does not.

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 20


Assignment #1

 Computational Methods
 12.11, 12.30, 12.33
 Statistics
 2.2, 2.14, 2.22, 2.26, 2.28, 2.37, 2.45, 2.52, 2.65, 2.74

Dr. M. Hrairi MTH2212 - Computational Methods and Statistics 21

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