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Iterative Methods For Solving Linear System of Equations 2.1 Introduction To Iterative Methods

This document introduces iterative methods for solving systems of linear equations. It defines the general iterative scheme as starting with an initial vector x(0) and calculating successive vectors x(k) using the equation x(k) = Mx(k-1) + y. It states that for the sequence of vectors x to converge to the solution, the spectral radius of the iterating matrix M must be less than 1. It then presents the system of linear equations Ax=y in matrix form and defines the matrices D, L, and U that make up the decomposition of A into its diagonal, lower triangular, and upper triangular parts. It assumes the diagonal elements of A are non-zero. The document sets up descriptions of two important

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Laxman Naidu N
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56 views2 pages

Iterative Methods For Solving Linear System of Equations 2.1 Introduction To Iterative Methods

This document introduces iterative methods for solving systems of linear equations. It defines the general iterative scheme as starting with an initial vector x(0) and calculating successive vectors x(k) using the equation x(k) = Mx(k-1) + y. It states that for the sequence of vectors x to converge to the solution, the spectral radius of the iterating matrix M must be less than 1. It then presents the system of linear equations Ax=y in matrix form and defines the matrices D, L, and U that make up the decomposition of A into its diagonal, lower triangular, and upper triangular parts. It assumes the diagonal elements of A are non-zero. The document sets up descriptions of two important

Uploaded by

Laxman Naidu N
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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2. ITERATIVE METHODS FOR SOLVING LINEAR SYSTEM OF EQUATIONS 2.

1 Introduction To Iterative Methods In general an iterative scheme is as follows: We have an nxn matrix M and we want to get the solution of the system x = Mx + y ..(1)

We obtain the solution x as the limit of a sequence of vectors, {x k } which are obtained as follows: We start with any initial vector x(0), and calculate x(k) from,

x(k) = Mx(k-1) + y for k = 1,2,3, ..

.(2)

successively.

We shall mention that a necessary and sufficient condition for the sequence of vectors x to converge to a solution x of (1) is that the spectral radius M sp of the iterating
(k)

matrix M is less than 1 or if M for some matrix norm. (We shall introduce the notion of norm formally in the next unit). We shall now consider some iterative schemes for solving systems of linear equations, Ax = y .(3)

We write this system in detail as

a11 x1 + a12 x 2 + ..... + a1n xn = y1

a 21 x1 + a 22 x2 + ..... + a 2 n xn = y 2
...... We have ...... ......

. . . . . . . .(4)

a n1 x1 + a n 2 x2 + ..... + a nn xn = y n
a11 a A = 21 K a n1 a12 a 22 K an 2 K K K K a1n a2 n . . . . . . . . . . . (5) K a nn
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We denote by D, L, U the matrices

a11 0 D= 0 ... 0

0 a 22 0 ... 0

... ... a 33 ... ...

... ... ... ... ...

0 0 0 .......... .......... ......( 6) ... a nn

the diagonal part of A; and

0 0 a21 0 L = a31 a32 K K a n1 an 2

K K 0

K K K

K K K an ,n 1

0 0 0 ..................................(7) K 0

the lower triangular part of A; and

0 a12 0 0 U = M M ... ... 0 0

... ... a23 ... M ... 0

a1n a2 n M M ........................................(8) ... an 1,n 1 ... 0

the upper triangular part of A. Note that, A = D + L + U (9). We assume that aii 0 ; i = 1, 2, , n (10) so that D-1 exists. We now describe two important iterative schemes, in the next section, for solving the system (3).

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