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The Iterative Idea

To solve Ax = b, write

M x(k+1) = (M A)x(k) + b, k = 0, 1, 2, . . .

Then the error e(k) x(k) x satisfies

M e(k+1) = (M A)e(k) ,

e(k+1) = Be(k)

(k)

e = B k e(0) k 0 iff < 1

Convergence. Does x(k) x? If x(k) x , then

M x = (M A)x + b

and Ax = b. The rate of convergence is governed by powers of B =

M 1 (M A). Since e(k) = B k e(0) , e(k) 0 and x(k) x (convergence)

iff B k 0 (stability).

Theorem. B k 0 iff every eigenvalue of B satisfies |i | < 1. The rate of

convergence is governed by the spectral radius of B:

= max |i |.

i

a complete set of eigenvectors)

e(0) = c1 v1 + c2 v2 + + cn vn

e(k) = B k e(0) = c1 k1 v1 + c2 k2 v2 + + cn kn vn 0 iff |i | < 1, i = 1, . . . , n

and

(k)

e cj kj vj k .

In matrix form,

B k = SS 1

SS 1 SS 1 = Sk S 1 0 iff |i | < 1, i = 1, . . . , n

eigenvectors, the matrix form of the proof simply involves the Jordan form

J of B instead of .

Choice of M

M x(k+1) = (M A)x(k) + b should be easy to solve. Diagonal or lower

triangular M s are good choices.

M should be close to A, so that the eigenvalues of B = M 1 (M A) =

I M 1 A are as small in magnitude as possible (must be inside the

unit circle in the complex plane).

For A = L+D+U , Jacobi takes M = D while Gauss-Seidel takes M = D+L.

SOR (successive over-relaxation) introduces a relaxation factor 1 < < 2

in Gauss-Seidel which is adjusted to make the spectral radius as small as

possible.

For a wide class of finite-difference matrices, Youngs formula relates the

eigenvalues of Jacobi and the eigenvalues of SOR:

( + 1)2 = 2 2 .

Minimizing SOR = max{||} = 1 (using the quadratic formula) gives

opt =

2 1

2J

2J

, SOR = opt 1.

1/(N + 1),

J = cos(h), GS = 2J , SOR =

1 sin h

.

1 + sin h

To show that the Jacobi spectral radius J = cos(h) for Laplaces equation

on the unit square with second-order accurate central differences, first consider a 1D problem. In 1D, set A = tridiag[1 2 1]. Then the iteration

matrix B = 21 tridiag[1 0 1]. Then show that Bv = cos(h) v where the 1D

eigenvector

v = [sin(h), sin(2h), , sin(N h)].

Note that here h = 1/(N +1). The other eigenvectors of B replace with 2,

3, . . . , N in v, with eigenvalues cos(2h), cos(3h), . . ., cos(N h).

In 2D, the eigenvector = [sin(ih) sin(jh)] =

[sin(h) sin(h), sin(h) sin(2h), , sin(h) sin(N h),

sin(2h) sin(h), , sin(2h) sin(N h), , sin(N h) sin(N h)]

SOR =

1 sin h

.

1 + sin h

Iteration Matrices

Solve Ax = b iteratively. Decompose A = L + D + U and define r(k) =

Ax(k) b.

Jacobi Iteration M = D

Dx(k+1) = (L + U )x(k) + b = Dx(k) r(k)

x(k+1) = x(k) D1 r(k)

3

BJ = D1 (L + U )

Gauss-Seidel Iteration M = L + D

(D + L)x(k+1) = U x(k) + b

Dx(k+1) = Dx(k) (Lx(k+1) + Dx(k) + U x(k) b) Dx(k) r(k)

x(k+1) = x(k) D1 r(k)

BGS = (L + D)1 U

SOR/SUR Iteration M =

+L

D (k+1) D (k)

x

= x (Lx(k+1) + Dx(k) + U x(k) b)

D

D

(k+1)

+L x

=

D U x(k) + b

BSOR =

D

+L

1

D

D U = (D + L)1 ((1 )D U )

Note that for SOR/SUR, det{B} = (1)n , 0 < < 2, and SOR = opt 1,

SU R = 1 opt .

2 2 Example

det{A} = 1 2 n , Tr{A} = 1 + 2 + + n

A=

MJ =

MGS =

"

"

2 0

0 2

2 0

1 2

"

, BJ =

, BGS =

"

2 1

1

2

"

1

2

0

1

2

0

1

2

1

4

0

0

1

1

, = , J =

2

2

1

1

, 1 = 0, 2 = , GS =

4

4

MSOR =

opt

"

2

, BSOR =

1 2

(1

)

1

2

2

3 3 Examples

(i) Example where Jacobi converges but Gauss-Seidel diverges

0 2

2

1 0 0

1 2 2

0 1

1

A= 1 1

, MJ = 0 1 0 , BJ = 1

2 2

0

0 0 1

2 2

1

e3 = 0, which is an unusual situation! See the Cayley-Hamilton Theorem in

the web notes Conjugate Gradients.

MGS

0 2

2

1 0 0

2 3

= 1 1 0 , BGS = 0

0

0

2

2 2 1

1 = 0, 2 = 3 = 2, GS = 2, Gauss-Seidel diverges.

2 0 0

2 1 1

0 1 1

1

0 1

A = 1 2 1 , MJ = 0 2 0 , BJ = 1

2

0 0 2

1 1 2

1 1

0

MGS

2 0 0

0 4 4

1

2 2

= 1 2 0 , BGS = 0

8

1 1 2

0

1

3

Chebyshev SOR

By dynamically adjusting , the Chebyshev SOR method insures that the

norm of the error always decreases. Make two half sweeps on even/odd

5

(black/white) meshes. Odd (even) points depend only on even (odd) mesh

values. Define ( is the Jacobi spectral radius):

(0) = 1

1

( 2 ) =

1

(n+ 2 ) =

2 (n)

4

1

2

1 2

3

1

, n = , 1, , . . .

2

2

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