ITERATIVE METHODS

Start from an approximation to the true solution and obtain better and better approximations from a
computation cycle repeated as often as may be necessary for achieving a desired accuracy.

Apt for systems in which the coefficients of the leading diagonal are large compared to others.

• Jacobi’s method
• Gauss-Siedel iteration for ordinary and sparse systems,
Convergence of iterative solution schemes with examples
 Jacobi’s Iteration method
https://www3.nd.edu/~zxu2/acms40390F12/Lec-7.3.pdf

If any of the diagonal entries are zero, then rows or columns must be interchanged to obtain a coefficient matrix that has
nonzero entries on the main diagonal.

https://college.cengage.com/mathematics/larson/elementary_linear/5e/students/ch08-10/chap_10_2.pdf
By repeated iterations, you will form a sequence of approximations that often converges to the actual solution.
Example 1.

Continue the iterations until two successive approximations are identical when rounded to three significant digits.
 Continuing this procedure, obtain the sequence of approximations shown in Table

For the given system of linear equations, the Jacobi method is said to converge.
That is, repeated iterations succeed in producing an approximation that is correct to three significant digits.
As is generally true for iterative methods, greater accuracy would require more iterations.

https://college.cengage.com/mathematics/larson/elementary_linear/5e/students/ch08-10/chap_10_2.pdf
Example 2
Example 3
Example 4

The coefficient matrix of the given system is not diagonally dominant.

Hence, we re-arrange the equations as follows, such that the elements in the coefficient matrix are diagonally dominant.
x 0 7 -3.83333 8.5 -7.63889 12.16667 -12.8287 18.34722 -20.7168 28.15278 -33.0099
y 0 4.333333 -0.16667 6.055556 -1.36111 8.148148 -3.61574 11.18673 -7.29244 15.85905 -13.1012
z 0 6.5 -1.33333 8.583333 -3.80556 11.68056 -7.73148 16.53009 -13.8603 24.15085 -23.4354
Example 5

If we choose (0, 0, 0, 0) as the initial approximation, then the first approximate solution is given by
Example 6
Example 7 (example 6: eqns 1 and 2 interchanged)

Jacobi method diverges rapidly. Although the given linear

system is same as the linear system Example 6, except the first
and second equations are interchanged.

From this example we concluded that Jacobi iterative method

is not always convergent.
 The Gauss-Seidel Method
• Modification of Jacobi’s method

https://byjus.com/maths/iterative-methods-gauss-seidel-and-jacobi/
Use the Gauss-Seidel iteration method to approximate the solution to the system of equations given in Example 1.
Example 4 (redo)

The coefficient matrix of the given system is not diagonally dominant.

Hence, we re-arrange the equations as follows, such that the elements in the coefficient matrix are diagonally dominant.
x 0 7 4 2.5 1.75 1.375 1.1875 1.09375 1.046875 1.023438 1.011719 1.005859 1.00293
y 0 2 2.666667 2.888889 2.962963 2.987654 2.995885 2.998628 2.999543 2.999848 2.999949 2.999983 2.999994
z 0 1 1.833333 2.361111 2.662037 2.824846 2.910365 2.954497 2.97702 2.988434 2.994191 2.997087 2.998541

Converges to x=1,y=3,z=3
An example of divergence

For this particular system of linear equations you can determine that the actual solution is x1=1, x2=1

see from Table 10.3 that the approximations given by the Jacobi method become progressively worse instead of better,
and you can conclude that the method diverges.
The problem of divergence is not resolved by using the Gauss-Seidel method rather than the Jacobi method.

In fact, for this particular system the Gauss-Seidel method diverges more rapidly, as shown in Table 10.4.

With an initial approximation of (x1,x2)=(0,0) neither the Jacobi method nor the Gauss-Seidel
method converges to the solution of the given system of linear equations.
strict diagonal dominance is not a necessary condition for convergence of the Jacobi or Gauss-Seidel methods.
For instance, the coefficient matrix of the system