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5. Gaussian Elimination
To solve , we reduce it to an equivalent system , in which U is upper triangular. This system can be easily solved
by a process of backward substitution.
Denote the original linear system by ,
where and n is the order of the system. We reduce the system to the triangular
form by adding multiples of one equation to another equation, eliminating some unknown from the second equation.
Additional row operations are used in the modifications given later. We define the algorithm in the following:
Gaussian Elimination Algorithm:
Step 1: Assume Define the row multipliers by
These are used in eliminating the term form equation 2 through n. Define
Also, the first rows of A and b are left undisturbed, and the first column of , below the diagonal, is set to zero. The system
looks like
We continue to eliminate unknowns, going onto columns 2, 3, etc., and this is expressed generally as follows.
Step Let . Assume that has been constructed with eliminated at successive
stages and has the form
Assume . Define the multipliers.
Use these to remove the unknown's from equations k+1 through n. Define
The earlier rows 1 through k are left undisturbed, and zeros are introduced into column k below the diagonal element. By continuing
in this manner, after n-1 steps, we obtain i.e.
Let and . The system Ux=g is upper triangular and easy to solve by back substitution; i.e
This completes the Gaussian elimination algorithm.
Example: solve the linear system
Represent the linear system by the augmented matrix
and carry out the row operations as given below
Solving Ux=g, We get
Triangular factorization of a matrix
Denote by L the lower triangular matrix given by
Theorem: If L and U are the lower and upper triangular matrices as defined above, then
Proof: The proof is an algebraic manipulation, making use of (1) and (2) as given above. We write
This completes the proof.
Corollary: With the matrices A, L and U as in the above theorem.
Proof: Follows by the product rule for determinants
Since L and U are triangular, their determinants are the product of their diagonal elements. The desired result follows easily, since
Example: For the system of the previous example
It is easy to see that A=L U. Also det(A)=det(U)=-1
Pivoting and Scaling in Gaussian Elimination
At each stage of the elimination process given above, we assumed the appropriate pivot element . To remove this
assumption, begin each step of the elimination process by switching rows to put a non zero element in the pivot position. If none such
exists, then the matrix must be singular, contrary to assumption.
It is not enough, however, to just ask that pivot element be nonzero. Nonzero but very small pivot element will yield gross errors in
further calculation and to guard against this and propagation of rounding errors, we introduce pivoting strategies.
Definition: (Partial Pivoting). For in the Gaussian elimination process at stage k, let
Let i be the smallest row index, , for which the maximum is attained. If then switch rows k and i in A and b, and
proceed with step k of the elimination process. All the multipliers will now satisfy
This helps in preventing the growth of elements in of greatly varying size, and thus lessens the possibility for large loss of
significance errors.
Definition: (Complete Pivoting).
Switch rows of A and b and columns of A to bring to the pivot position an element giving the maximum . However, complete
pivoting is more expensive and thus partial pivoting is more often used
Example: Consider solving the system with and without pivoting:
The exact solution rounded to four significant digits is
1. Solution without pivoting: Using four decimal arithmetic
The solution is
2. Solution with pivoting: To indicate the interchange of rows i and j, we will use the notation

The solution is
The error in (3) is from seven to sixteen times larger than it is for (4), depending upon the component of the solution being
considered. The results in (4) have one more significant digit than those in (3). This illustrates the positive effect that the use of
pivoting can have on the error for Gaussian elimination.
Scaling: It has been observed that if the elements of the coefficient matrix A vary greatly in size, then it is likely that large loss of
significance errors will be introduced and the propagation of rounding errors will be worse. To avoid this problem, we usually scale
the matrix A so that the elements vary less. This is usually done by multiplying the rows and columns by suitable constants. If we let
B denote the result of row and column scaling in A, then
where and are the diagonal matrices, with entries the scaling constants. To solve , observe that
Thus we solve for x by solving
Restricting ourselves to row scaling, we attempt to choose the coefficients so as to have
where is the result of scaling A.
Gauss-Jordan Method
This procedure is much the same as Gauss elimination including the possible use of pivoting and scaling. It differs in eliminating the
unknown in equation above the diagonal as well as below it. In step k of the elimination, choose the pivot element as before. Then
Eliminate the unknown in equation both above and below equation k. Define
The procedure will convert the augmented matrix to , so that the solution is .
The Choleski Method
Let A be a symmetric and positive definite matrix of order n. The matrix is positive definite if for
all . For such a matrix A, there is a very convenient factorization and can be carried out without any need for pivoting
or scaling. This is called Choleski factorization and that is we can find a lower triangular real matrix L such that
Construction of the matrix L: Let with for . Begin the construction of L by multiplying the first row of
A times the first column of , we get
Because A is positive definite, and . Next, multiply the second row of L times the first two columns of to
Again, we can solve for the unknowns and . In general for
The square root in (5) of choleski's method can be avoided by using a slight modification of the factorization. That is to find a
diagonal matrix D and a lower triangular matrix , with unity on the diagonal, such that
Example: Consider the Hilbert matrix of order 3,
For the choleski decomposition
And for (6), we have
Tridiagonal systems
The matrix is tridiagonal, if for
The elements and can be computed recursively as:
These can be solved to give
A is non-singular)
To solve , let and . Then
Error Analysis:
Consider solving the system , where A is a non-singular matrix of order n. Denote by and the true and computed
solutions, respectively, of . One possible measure of the error in the computed solution would be the magnitude of the
residual vector
But this is not appropriate of error analysis as can be quite small even though is a very erroneous solution. This can be
justified in the following manner: if has some large elements, then r may be very small even if is substantially different from
the true solution. For
Therefore, if some elements of are large, a small component of r can still mean a large difference between and , or
conversely, may be far from but r can nevertheless still be small. In other words, an accurate solution (i.e a small difference
between and ) will always produce small residuals but small residuals do not guarantee an accurate solution.
If the system is such that contains some very large elements, then we say the matrix and, therefore, the system of
equations is ill-conditioned. The following simple example will illustrate the dangers inherent in solving ill-conditioned system.
Consider the system
which has the solution x=1, y=1, and the system
which has the solution x=10, y=-2. Here a change of .00002 in and .00001 in has caused a gross change in the solution. The
inverse of the matrix of coefficients in (7) has elements whose order of magnitude is , which indicates the ill conditioning of A.
A more reasonable measure of the error is given by
It is this error we shall try to estimate here. Any bound on E will depend on the magnitude of the round off errors incurred, the order
of the matrix A, and the size of . One approach to finding such a bound would be to consider the worst possible case of round
off at each stage of the method and to derive a bound based on the accumulation of these errors. Since the round off at one stage is
quite complicated function of the round off at previous stages, such bounds are difficult to calculate. Instead our approach here will
be to estimate the perturbed system of equations whose true solution is the calculated solution . That is, the computed solution
is the true solution of some system which we write as
We can not hope to find and precisely; our object is to find bounds on their elements.
We have
In order to find a bound E, we consider the following two norms of the matrix A.
i) Euclidean Norm of A is defined as
ii) Spectral Norm of A is defined as
where the notation denotes an eigen value of . Both of these norms are defined for any m x n matrix. For vectors we
define the norm in the Euclidean sense as .
The Euclidean norm may also be expressed as
where tr denotes the trace. Since the trace of a matrix is the sum of its eigen values where n is the order of

Thus we have the important result
For our purpose the spectral norm is much more useful of the two norms. We shall here after drop the subscript s on the spectral
norm. We also need to use the spectral radius, which is defined as , Thus , and when A
is symmetric, we have
We need the following theorem to obtain the error bound.
Theorem: Let A be a square matrix and x any vector. Then
Proof: Let be the largest eigen value in magnitude of . For any x
Since the eigen value of are nonpositive and therefore the numerator is negative semi-definite. Equality holds when x is
an eigen vector of corresponding to . Hence the theorem.
Corollary 1.
Proof: The result follows by letting x be the eigen vector corresponding to any eigen value of A.
Corollary 2. If , then I+A is non-singular.
Proof: ( the eigen values of I are 1.) Thus
Corollary 3. If ,then
Proof: Since (I+A) is non-singular by corollary 2, we have
Taking norm, we have
from which it follows that
The second part also follows easily.
Corollary 4. If A is non-singular and , then A+B is nonsingular and
Proof: Using corollary 2, the non-singularity of both A+B and follows since
. We have
Taking norm, we have
With the definition of vector norm given earlier, we see that
Using corollaries 3 and 4, we have from (9),
where we have assumed that . One can see that bound (10) depends upon bounds on and in
addition to a bound on .
A priori Error Estimate
In solving the system
by any procedure, round off errors will in general be introduced. But if the problem is well posed these errors can be kept with in
reasonable bounds. By a problem to be well posed, we mean that 'small' changes in the data lead to 'small' changes in the solution.
Suppose that the matrix A and b in (11) are perturbed by the quantities and . Then if the perturbation in the solution x of (11)
is , we have
Now an estimate of the relative change in the solution can be given in terms of the relative changes in A and b by means of the
Theorem: Let A be non-singular and the perturbation be so small that
Then if x and satisfy (11) and (12), we have
where the condition number is defined as
Proof: Since by (13), it follows that by corollary 2 and 3, the matrix is non singular
and further that
Now multiply (12) by , using (11) and solving for , we get
Taking norm and divide by we get
Now form (11) it is clear that this gives
which yields the result using the definition (14).
The estimate (15) shows that small relative change in b and A cause small relative changes in the solution if the factor
is not too large. The condition (13) is equivalent to . Thus, it is clear that when the condition number is not too
large, the system (11) is well conditioned. Note that we can not expect to be small compared to unity since
A Posteriori Error Estimate
Although we do not advocate inverting a matrix to solve linear system, it is of interest to consider error estimates related to computed
inverses. Let A be the matrix to be inverted and let C be the computed inverse. The error in the inverse is defined by
We also use another measure of error called the residual matrix:
We have the following result.
Theorem: If , then A and C are non-singular, and
Proof: Since , I-R is non-singular(by an earlier theorem) and
and thus both det(C) and det(A) are non zero. This proves that both A and C are non singular. Now or
If is of interest to note that with C an approximate inverse of A, we can find the perturbation so that C is the exact inverse of
. That is,
Finally, we observe that the computed inverse can also be used to estimate the error in solving a linear system. This is given in the
Theorem: Let A, C and R be as given in the previous theorem. Let be an approximate solution to Ax=b and define .
Iterative methods
We restrict to linear iteration which has the form
where the matrix and vector are independent of in a stationary iteration.
To motivate considering iterations of the type (18), to solve
let us write (19) in the form
Equation (20) suggests the iteration
Equation(18) is then just a generalization of (21). We require that the true solution x of (19) be a fixed point of (18). We must then
for all
. Since we have
We assume that and are independent of b. Therefore, we must have
This is called the condition of consistency for and . In view of (22), we can write (18) in the form
To consider the convergence of (24), we define . Thus
, (using (23) )
If is the initial approximation to the solution of (19), then
Therefore, a necessary and sufficient condition for the convergence of the sequence to x for arbitrary is that
for all
While a sufficient condition for convergence is that
We also have
Therefore, is also a sufficient condition for the convergence of the iteration (18). For stationary iterative process still
another sufficient condition for convergence is
When an iteration is stationary, then and from (25), we have
The eigen values of and the powers of the eigen values of B. Therefore, the condition (26) is equivalent to requiring
that all eigen values of B lie with in the unit circle. In fact, this is a necessary and sufficient condition for the convergence of
stationary iteration.
The Jacobi Iteration
We write the matrix A in the form
Where D is a diagonal matrix with and L and U are, respectively, lower and upper triangular matrices with zeros on the
diagonal. Then the system
can be written as
We now define the iteration
where is an initial approximation. This is known as J acobi iteration or the method of simultaneous displacements.
If , we can write (27) in the component form as
If we let
then (29) can be written as
and the J acobi iterative scheme (28) is
We now describe the algorithm for the jacobi iteration (method of simultaneous displacement).
Algorithm: Let the system be expressed in the form
where B is an n x n matrix as given above and c is a given column vector. To find an approximate solution.
1. Choose an arbitrary initial approximation vector . If no better choice is available, choose
2. Generate successive approximation by the iteration
3. Continue until either of the following convergence criteria is satisfied.
for a prescribed integer M

Example: A simple example illustrating J acobi iteration is the following:

The exact solution is . To solve it by J acobi iteration, we write it in the form
Choosing we obtain successive approximations and, for example, we get
which is a good approximation for the exact solution.
Gauss-Seidel iteration (Method of successive displacement):
We split the system as
and write
and define the iteration as
where is an initial approximation. The algorithm for Gauss-seidel method is given below:
1. Choose an arbitrary initial approximation vector
2. Generate successive approximations by the iteration
3. Continue either until the following convergence criteria is satisfied:
for some prescribed
or until for a prescribed integer M.
Let us assume that the system to be solved has been expressed in the form
where B is n x n matrix with elements . The J acobi and Gauss-seidel methods then consist of choosing an arbitrary initial vector
and generating a sequence of approximations by the iteration
on subtracting (30) from (31),we get
Let denote the error in the approximation, then we have
where is the error in the initial approximation . We must now show that regardless of what the initial error is,
Theorem: The iteration defined by (31) will converge for any choice of the initial vector if and only if the eigenvalues of the
matrix B are all less than one in magnitude.
Remark: The rate of convergence depends upon the magnitude of the largest eigen value of B. The smaller this eigen value, the
faster the rate of convergence.
This theorem is not, however, very helpful in practice because we will generally not know the eigen values of B.
We shall describe sufficient condition for convergence in the following Theorem, which is more practicable.
Theorem: In the jacobi iteration, let the elements of B satisfy the column sum inequalities
Then the J acobi iteration method will converge for any choice of the initial approximation .
Proof: The error equation (32) can be explicitly written as
Taking absolute values and applying the triangle inequality, we have
Adding these inequalities, we obtain
using (32),we get
using this inequality recursively, we get
Since , it follows that
Since this is a finite sum of positive terms, it can vanish only if each term in the sum vanishes separately. We have thus shown that
We can also prove the theorem if the elements of B satisfy the row sum inequalities
If the condition (34) is satisfied, convergence of J acobi iteration will take place for any choice of the initial approximation . The
conditions (33) and (34) expressed in terms of the elements of A become
Matrices satisfying condition (36) are said to be strictly diagonally dominant. The conditions given in the theorem are sufficient for
convergence but not necessary. These conditions are also sufficient in the convergence for Gauss-seidel method.

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