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Major: All Engineering Majors Authors: Autar Kaw (Modified by P. Goel for IDC103)

http://numericalmethods.eng.usf.edu

Transforming Numerical Methods Education for STEM Undergraduates

http://numericalmethods.eng.usf.edu

3/25/2010

Gauss-Seidel Method

http://numericalmethods.eng.usf.edu

Gauss-Seidel Method

An iterative method. Basic Procedure :

-Algebraically solve each linear equation for xi -Assume an initial guess solution array -Solve for each xi and repeat -Use absolute relative approximate error after each iteration to check if error is within a pre-specified tolerance.

http://numericalmethods.eng.usf.edu

Gauss-Seidel Method

Why?

Obviously it isn t possible to obtain better than machine precision for a solution of SLEs (using Gaussian Elimination and LU Decomposition). Actually, the situation is worse for large systems: it isn t possible to get close to machine precision in direct methods.

The Gauss-Seidel Method allows the user to control round-off error. In fact, iterative methods can be used to improve the solution obtained by direct methods.

http://numericalmethods.eng.usf.edu

Gauss-Seidel Method

Algorithm

A set of n equations and n unknowns:

a21 x1 + a22 x2 + a23 x3 + ... + a2n xn = b2

. . . . . .

non-zero

for the corresponding unknown

ex:

First equation, solve for x1 Second equation, solve for x2

http://numericalmethods.eng.usf.edu

Gauss-Seidel Method

Algorithm

Rewriting each equation

x1 =

c2 - a21 x1 - a23 x3 KK - a2 n xn a22 M M M cn -1 - an -1,1 x1 - an -1, 2 x2 KK - an -1,n -2 xn -2 - an -1, n xn an -1,n -1 ann

From Equation 1

x2 =

From equation 2

xn -1 = xn =

cn - an1 x1 - an 2 x2 - KK - an , n -1 xn -1

From equation n

http://numericalmethods.eng.usf.edu

Gauss-Seidel Method

Algorithm

General Form of each equation

c1 - a1 j x j x1 =

j =1 j 1

cn -1 xn -1 =

j =1 j n -1

a

n

n -1, j

xj

a11

an -1,n -1

c2 - a2 j x j x2 =

j =1 j2

c n - a nj x j xn =

j =1 jn

a 22

a nn

http://numericalmethods.eng.usf.edu

Gauss-Seidel Method

Algorithm

General Form for any row i

ci - aij x j xi =

j =1 j i

aii

, i = 1,2,K , n.

http://numericalmethods.eng.usf.edu

Gauss-Seidel Method

Solve for the unknowns

Assume an initial guess for [X] Use rewritten equati ons to solve for each value of x i. Important: Remember to use the most recent value of xi. Which means to apply values calculated to the calculations remaining in the current iteration.

x1 x 2 M xn -1 xn

http://numericalmethods.eng.usf.edu

Gauss-Seidel Method

Calculate the Absolute Relative Approximate Error

a i =

new i

-x

new i

old i

100

The iterations are stopped when the absolute relative approximate error is less than a prespecified tolerance for all unknowns.

http://numericalmethods.eng.usf.edu

The system of equati ons

a1 1 a = 2 2 a 3 5

http://numericalmethods.eng.usf.edu

Rewriting each equation

106.8 - 5a 2 - a 3 a1 = 25

177.2 - 64a1 - a 3 a2 = 8

279.2 - 144a1 - 12a 2 a3 = 1

http://numericalmethods.eng.usf.edu

Applying the initial guess and solving for ai

a1 1 a = 2 2 a 3 5

Initial Guess

a1 =

a3 = 279.2 - 144(3.6720 ) - 12(- 7.8510 ) = -155.36 1

When solving for a2, how many of the initial guess values were used?

http://numericalmethods.eng.usf.edu

Finding the absolute relative approximate error

a i

3.6720 - 1.0000 x100 = 72.76% 3.6720

a 1 =

The maximum absolute relative approximate error is 125.47%

a 3 =

http://numericalmethods.eng.usf.edu

Using

Iteration #2

a1 = 106.8 - 5(- 7.8510 ) - 155.36 = 12.056 25

177.2 - 64(12.056 ) - 155.36 = -54.882 8

the values of ai are found:

from iteration #1

a2 =

a3 =

http://numericalmethods.eng.usf.edu

Finding the absolute relative approximate error 12.056 - 3.6720 At the end of the second iteration a 1 = x100 = 69.543% 12.056 a 12.056

a 2 = - 54.882 - (- 7.8510) x100 = 85.695% - 54.882

a = - 54.882 2 a3 - 798.54

a 3 =

http://numericalmethods.eng.usf.edu

Repeating more iterations, the following values are obtained

Iteration

a 1 %

72.767 69.543 74.447 75.595 75.850 75.906

a 2 %

125.47 85.695 78.521 76.632 76.112 75.972

a 3 %

103.22 80.540 76.852 76.116 75.963 75.931

1 2 3 4 5 6 Notice

The relative errors are not dec reasing at any significant rate

a 1 0.29048 Also, the solution is not converging to the true s olution of a 2 = 19.690 a 3 1.0857

http://numericalmethods.eng.usf.edu

What went wrong?

Even though done correctly, the answer is not converging to the correct answer This example illustrates a pitfall of the Gaus s-Siedel method: not all systems of equations will converge.

Is there a fix?

http://numericalmethods.eng.usf.edu

GAUSS-SEIDEL CONVERGENCE THEOREM: If A is diagonally dominant, then the Gauss-Seidel method converges for any starting vector x. A sufficient, but not necessary condition.

Diagonally dominant: [A] in [A] [X] = [C] is diagonally dominant if:

aii aij

j =1 j i

for all i

and

j =1 j i

http://numericalmethods.eng.usf.edu

Diagonally dominant: The coefficient on the diagonal must be at least

equal to the sum of the other c oefficients in that row and at least one row with a diagonal coefficient greater than the sum of the other coefficients in that row. Which coefficient matrix is diagonally dominant?

2 5.81 34 [A ] = 45 43 1 123 16 1

124 34 56 [ B] = 23 53 5 96 34 129

http://numericalmethods.eng.usf.edu

Given the system of equations The coefficient matrix is:

12 x1 + 3 x2- 5 x3 = 1

x1 + 5 x2 + 3x3 = 28

3x1 + 7 x2 + 13x3 = 76

With an initial guess of

12 3 - 5 [A] = 1 5 3 3 7 13

Will the solution converge using the Gauss-Siedel method?

x1 1 x = 0 2 x3 1

http://numericalmethods.eng.usf.edu

Checking if the coefficient matrix is diagonally dominant

12 3 - 5 [A] = 1 5 3 3 7 13

a 22 = 5 = 5 a 21 + a 23 = 1 + 3 = 4

a33 = 13 = 13 a31 + a32 = 3 + 7 = 10

The inequalities are all true and at least one row is strictly greater than: Therefore: The solution should converge using the Gauss-Siedel Method

http://numericalmethods.eng.usf.edu

Rewriting each equation

12 3 - 5 a1 1 1 5 3 a = 28 2 3 7 13 a3 76

x1 1 x = 0 2 x 3 1

x1 = 1 - 3(0) + 5(1) = 0.50000 12

1 - 3x 2 + 5 x3 x1 = 12 28 - x1 - 3x3 x2 = 5

76 - 3(0.50000 ) - 7(4.9000 ) x3 = = 3.0923 13

http://numericalmethods.eng.usf.edu

76 - 3x1 - 7 x 2 x3 = 13

The absolute relative approximate error

a

a

3.0923 - 1.0000 = 100 = 67.662% 3.0923

The maximum absolute relative error after the first iteration is 100%

http://numericalmethods.eng.usf.edu

After Iteration #1

x1 0.5000 x = 4.9000 2 x3 3.0923

x1 =

After Iteration #2

x1 0.14679 x = 3.7153 2 x3 3.8118

x3 =

http://numericalmethods.eng.usf.edu

Iteration #2 absolute relative approximate error

a 1 = 0.14679 - 0.50000 100 = 240.61% 0.14679

The maximum absolute relative error after the fi rst iteration is 240.61%

This is much larger than the maxi mum absolute relative error obtai ned in iteration #1. Is this a problem?

http://numericalmethods.eng.usf.edu

Repeating more iterations, the following values are obtained

Iteration 1 2 3 4 5 6 a1 0.50000 0.14679 0.74275 0.94675 0.99177 0.99919

a 1 %

100.00 240.61 80.236 21.546 4.5391 0.74307

a 2 %

100.00 31.889 17.408 4.4996 0.82499 0.10856

a 3 %

67.662 18.876 4.0042 0.65772 0.074383 0.00101

x1 0.99919 The solution obtained x = 3.0001 is close to the exact solution of 2 x3 4.0001

x1 1 x = 3 . 2 x 3 4

http://numericalmethods.eng.usf.edu

Given the system of equations

3 x1 + 7 x2 + 13 x3 = 76

x1 + 5 x2 + 3x3 = 28

12 x1 + 3x2 - 5 x3 = 1

With an initial guess of

76 - 7 x2 - 13 x3 x1 = 3

x1 1 x = 0 2 x3 1

28 - x1 - 3x3 x2 = 5

1 - 12 x1 - 3 x 2 x3 = -5

http://numericalmethods.eng.usf.edu

Conducting six iterations, the following values are obtained

Iteration a1

a 1 %

A2

a 2 %

100.00 94.453 112.43 109.63 109.92 109.89

a3

a 3 %

98.027 110.96 109.80 109.90 109.89 109.89

1 2 3 4 5 6

95.238 0.80000 110.71 14.421 109.83 116.02 109.90 1204.6 109.89 12140 109.89 1.2272105

The values are not converging. Does this mean that the Gauss-Seidel method cannot be used?

http://numericalmethods.eng.usf.edu

Gauss-Seidel Method

The Gauss-Seidel Method can still be used

The coefficient matrix is not diagonally dominant But this is the same set of equations used in example #2, which did converge.

3 7 13 [A] = 1 5 3 12 3 - 5

12 3 - 5 [ A] = 1 5 3 3 7 13

If a system of linear equations is not diagonally dominant, check to see if rearranging the equati ons can form a di agonally dominant matrix.

http://numericalmethods.eng.usf.edu

Gauss-Seidel Method

Not every system of equations can be rearranged to have a diagonally dominant coefficient matrix.

Observe the set of equati ons

x1 + x 2 + x3 = 3

2 x1 + 3 x 2 + 4 x3 = 9

x1 + 7 x 2 + x3 = 9

Which equation(s) prevents this set of equation from having a diagonally dominant coefficient matrix?

http://numericalmethods.eng.usf.edu

Gauss-Seidel Method

Summary

-Advantages of the Gauss-Seidel Method -Algorithm for the Gauss-Seidel Method -Pitfalls of the Gauss -Seidel Method

http://numericalmethods.eng.usf.edu

Gauss-Seidel Method

Questions?

http://numericalmethods.eng.usf.edu

Additional Resources

For all resources on this topic such as digital audiovisual lectures, primers, textbook chapters, multiple-choice tests, worksheets in MATLAB, MATHEMATICA, MathCad and MAPLE, blogs, related physical problems, please visit http://numericalmethods.eng.usf.edu/topics/gauss_seid el.html

THE END

http://numericalmethods.eng.usf.edu

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