578 CHAPTER 10 NUMERICAL METHODS
10.2 ITERATIVE METHODS FOR SOLVING LINEAR SYSTEMS
As a numerical technique, Gaussian elimination is rather unusual because it is direct. That
is, a solution is obtained after a single application of Gaussian elimination. Once a “solu-
tion” has been obtained, Gaussian elimination offers no method of refinement. The lack of
refinements can be a problem because, as the previous section shows, Gaussian elimination
is sensitive to rounding error.
Numerical techniques more commonly involve an iterative method. For example, in
calculus you probably studied Newton’s iterative method for approximating the zeros of a
differentiable function. In this section you will look at two iterative methods for approxi-
mating the solution of a system of n linear equations in n variables.
The Jacobi Method
The first iterative technique is called the Jacobi method, after Carl Gustav Jacob Jacobi
(1804–1851). This method makes two assumptions: (1) that the system given by
a11 x1 a12 x2 . . . a1n xn b1
a21 x1 a22 x2 . . . a2n xn b2
. . . .
. . . .
. . . .
an1 x1 an2 x2 . . . ann xn bn
has a unique solution and (2) that the coefficient matrix A has no zeros on its main diago-
nal. If any of the diagonal entries a11, a22, . . . , ann are zero, then rows or columns must be
interchanged to obtain a coefficient matrix that has nonzero entries on the main diagonal.
To begin the Jacobi method, solve the first equation for x1, the second equation for x2,
and so on, as follows.
1
x1 (b a12 x2 a13x3 . . . a1n xn)
a11 1
1
x2 (b a21 x1 a23x3 . . . a2n xn)
a22 2
.
.
.
1
xn (b an1 x1 an2x2 . . . an,n1 xn1
ann n
Then make an initial approximation of the solution,
(x1, x2, x3, . . . , xn), Initial approximation
and substitute these values of xi into the right-hand side of the rewritten equations to obtain
the first approximation. After this procedure has been completed, one iteration has been
SECTION 10.2 ITERATIVE METHODS FOR SOLVING LINEAR SYSTEMS 579
performed. In the same way, the second approximation is formed by substituting the first
approximation’s x-values into the right-hand side of the rewritten equations. By repeated
iterations, you will form a sequence of approximations that often converges to the actual
solution. This procedure is illustrated in Example 1.
EXAMPLE 1 Applying the Jacobi Method
Use the Jacobi method to approximate the solution of the following system of linear
equations.
5x1 2x2 3x3 1
3x1 9x2 x3 2
2x1 x2 7x3 3
Continue the iterations until two successive approximations are identical when rounded to
three significant digits.
Solution To begin, write the system in the form
x1 15 25 x2 35x3
x2 29 39x1 19x3
x3 37 27 x1 17 x 2 .
Because you do not know the actual solution, choose
x1 0, x2 0, x3 0 Initial approximation
as a convenient initial approximation. So, the first approximation is
x1 15 25(0) 35(0) 0.200
x2 29 39(0) 19(0) 0.222
x3 37 27(0) 17(0) 0.429.
Continuing this procedure, you obtain the sequence of approximations shown in Table 10.1.
TABLE 10.1
n 0 1 2 3 4 5 6 7
x1 0.000 0.200 0.146 0.192 0.181 0.185 0.186 0.186
x2 0.000 0.222 0.203 0.328 0.332 0.329 0.331 0.331
x3 0.000 0.429 0.517 0.416 0.421 0.424 0.423 0.423
580 CHAPTER 10 NUMERICAL METHODS
Because the last two columns in Table 10.1 are identical, you can conclude that to three
significant digits the solution is
x1 0.186, x2 0.331, x3 0.423.
For the system of linear equations given in Example 1, 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.
The Gauss-Seidel Method
You will now look at a modification of the Jacobi method called the Gauss-Seidel method,
named after Carl Friedrich Gauss (1777–1855) and Philipp L. Seidel (1821–1896). This
modification is no more difficult to use than the Jacobi method, and it often requires fewer
iterations to produce the same degree of accuracy.
With the Jacobi method, the values of xi obtained in the nth approximation remain
unchanged until the entire (n 1) th approximation has been calculated. With the Gauss-
Seidel method, on the other hand, you use the new values of each xi as soon as they are
known. That is, once you have determined x1 from the first equation, its value is then used
in the second equation to obtain the new x2. Similarly, the new x1 and x2 are used in
the third equation to obtain the new x3, and so on. This procedure is demonstrated in
Example 2.
EXAMPLE 2 Applying the Gauss-Seidel Method
Use the Gauss-Seidel iteration method to approximate the solution to the system of
equations given in Example 1.
Solution The first computation is identical to that given in Example 1. That is, using (x1, x2, x3)
(0, 0, 0) as the initial approximation, you obtain the following new value for x1.
x1 15 25(0) 35(0) 0.200
Now that you have a new value for x1, however, use it to compute a new value for x2. That
is,
x2 29 39(0.200) 19(0) 0.156.
Similarly, use x1 0.200 and x2 0.156 to compute a new value for x3. That is,
x3 37 27(0.200) 17(0.156) 0.508.
So the first approximation is x1 0.200, x2 0.156, and x3 0.508. Continued
iterations produce the sequence of approximations shown in Table 10.2.
SECTION 10.2 ITERATIVE METHODS FOR SOLVING LINEAR SYSTEMS 581
TABLE 10.2
n 0 1 2 3 4 5
x1 0.000 0.200 0.167 0.191 0.186 0.186
x2 0.000 0.156 0.334 0.333 0.331 0.331
x3 0.000 0.508 0.429 0.422 0.423 0.423
Note that after only five iterations of the Gauss-Seidel method, you achieved the same
accuracy as was obtained with seven iterations of the Jacobi method in Example 1.
Neither of the iterative methods presented in this section always converges. That is, it is
possible to apply the Jacobi method or the Gauss-Seidel method to a system of linear equa-
tions and obtain a divergent sequence of approximations. In such cases, it is said that the
method diverges.
EXAMPLE 3 An Example of Divergence
Apply the Jacobi method to the system
x1 5x2 4
7x1 x2 6,
using the initial approximation x1, x2 0, 0, and show that the method diverges.
Solution As usual, begin by rewriting the given system in the form
x1 4 5x2
x2 6 7x1.
Then the initial approximation (0, 0) produces
x1 4 50 4
x2 6 70 6
as the first approximation. Repeated iterations produce the sequence of approximations
shown in Table 10.3.
TABLE 10.3
n 0 1 2 3 4 5 6 7
x1 0 4 34 174 1244 6124 42,874 214,374
x2 0 6 34 244 1244 8574 42,874 300,124
582 CHAPTER 10 NUMERICAL METHODS
For this particular system of linear equations you can determine that the actual solution
is x1 1 and x2 1. So you can 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 in Example 3 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.
TABLE 10.4
n 0 1 2 3 4 5
x1 0 4 174 6124 214,374 7,503,124
x2 0 34 1224 42,874 1,500,624 52,521,874
With an initial approximation of (x1, x2) (0, 0), neither the Jacobi method nor the
Gauss-Seidel method converges to the solution of the system of linear equations given in
Example 3. You will now look at a special type of coefficient matrix A, called a strictly
diagonally dominant matrix, for which it is guaranteed that both methods will converge.
Definition of Strictly An n n matrix A is strictly diagonally dominant if the absolute value of each entry
Diagonally Dominant on the main diagonal is greater than the sum of the absolute values of the other entries
in the same row. That is,
Matrix
a11 > a12 a13 . . . a1n
a22 > a21 a23 . . . a2n
.
.
.
ann > an1 an2 . . . an,n1 .
EXAMPLE 4 Strictly Diagonally Dominant Matrices
Which of the following systems of linear equations has a strictly diagonally dominant
coefficient matrix?
(a) 3x1 x2 4
2x1 5x2 2
(b) 4x1 2x2 x3 1
x1 2x3 4
3x1 5x2 x3 3
SECTION 10.2 ITERATIVE METHODS FOR SOLVING LINEAR SYSTEMS 583
Solution (a) The coefficient matrix
1
2
3
A
5
is strictly diagonally dominant because 3 > 1 and 5 > 2 .
(b) The coefficient matrix
1
4 2
A 1 0 2
3 5 1
is not strictly diagonally dominant because the entries in the second and third rows
do not conform to the definition. For instance, in the second row a21 1, a22 0,
a23 2, and it is not true that a22 > a21 a23 . Interchanging the second and third
rows in the original system of linear equations, however, produces the coefficient matrix
1
4 2
A 3 5 1 ,
1 0 2
and this matrix is strictly diagonally dominant.
The following theorem, which is listed without proof, states that strict diagonal domi-
nance is sufficient for the convergence of either the Jacobi method or the Gauss-Seidel
method.
Theorem 10.1 If A is strictly diagonally dominant, then the system of linear equations given by Ax b
has a unique solution to which the Jacobi method and the Gauss-Seidel method will con-
Convergence of verge for any initial approximation.
the Jacobi and
Gauss-Seidel Methods
In Example 3 you looked at a system of linear equations for which the Jacobi and Gauss-
Seidel methods diverged. In the following example you can see that by interchanging the
rows of the system given in Example 3, you can obtain a coefficient matrix that is strictly
diagonally dominant. After this interchange, convergence is assured.
EXAMPLE 5 Interchanging Rows to Obtain Convergence
Interchange the rows of the system
x1 5x2 4
7x1 x2 6
to obtain one with a strictly diagonally dominant coefficient matrix. Then apply the Gauss-
Seidel method to approximate the solution to four significant digits.
584 CHAPTER 10 NUMERICAL METHODS
Solution Begin by interchanging the two rows of the given system to obtain
7x1 x2 6
x1 5x2 4.
Note that the coefficient matrix of this system is strictly diagonally dominant. Then solve
for x1 and x2 as follows.
x1 67 17x2
x2 45 15x1
Using the initial approximation (x1, x2) (0, 0), you can obtain the sequence of approxi-
mations shown in Table 10.5.
TABLE 10.5
n 0 1 2 3 4 5
x1 0.0000 0.8571 0.9959 0.9999 1.000 1.000
x2 0.0000 0.9714 0.9992 1.000 1.000 1.000
So you can conclude that the solution is x1 1 and x2 1.
Do not conclude from Theorem 10.1 that strict diagonal dominance is a necessary con-
dition for convergence of the Jacobi or Gauss-Seidel methods. For instance, the coefficient
matrix of the system
4x1 5x2 1
x1 2x2 3
is not a strictly diagonally dominant matrix, and yet both methods converge to the solution
x1 1 and x2 1 when you use an initial approximation of x1, x2 0, 0. (See
Exercises 21–22.)
SECTION 10.2 EXERCISES 585
SECTION 10.2 ❑ EXERCISES
In Exercises 1– 4, apply the Jacobi method to the given system of 19. Interchange the rows of the system of linear equations in
linear equations, using the initial approximation x1, x2, . . . , xn Exercise 11 to obtain a system with a strictly diagonally dom-
(0, 0, . . . , 0). Continue performing iterations until two successive inant coefficient matrix. Then apply the Gauss-Seidel method
approximations are identical when rounded to three significant digits. to approximate the solution to two significant digits.
20. Interchange the rows of the system of linear equations in
1. 3x1 x2 2 2. 4x1 2x2 6
Exercise 12 to obtain a system with a strictly diagonally dom-
x1 4x2 5 3x1 5x2 1 inant coefficient matrix. Then apply the Gauss-Seidel method
3. 2x1 x2 2 4. 4x1 x2 x3 7 to approximate the solution to two significant digits.
x1 3x2 x3 2 x1 7x2 2x3 2 In Exercises 21 and 22, the coefficient matrix of the system of linear
x1 x2 3x3 6 3x1 4x3 11 equations is not strictly diagonally dominant. Show that the Jacobi
5. Apply the Gauss-Seidel method to Exercise 1. and Gauss-Seidel methods converge using an initial approximation
of x1, x2, . . . , xn 0, 0, . . . , 0.
6. Apply the Gauss-Seidel method to Exercise 2.
7. Apply the Gauss-Seidel method to Exercise 3. 21. 4x1 5x2 1 22. 4x1 2x2 2x3 0
8. Apply the Gauss-Seidel method to Exercise 4. x1 2x2 3 x1 3x2 x3 7
In Exercises 9–12, show that the Gauss-Seidel method diverges for 3x1 x2 4x3 5
the given system using the initial approximation x1, x2, . . . , xn
In Exercises 23 and 24, write a computer program that applies the
0, 0, . . . , 0.
Gauss-Siedel method to solve the system of linear equations.
9. x1 2x2 1 10. x1 4x2 1
23. 4x1 x2 x3 3
2x1 x2 3 3x1 2x2 2
x1 6x2 2x3 x4 x5 6
11. 2x1 3x2 7 12. x1 3x2 x3 5
x2 5x3 x5 x6 5
x1 3x2 10x3 9 3x1 x2 5 2x2 5x4 x5 x7 x8 0
3x1 x3 13 x2 2x3 1 x3 x4 6x5 x6 x8 12
In Exercises 13–16, determine whether the matrix is strictly diago- x3 x5 5x6 12
nally dominant. x4 4x7 x8 2
1 2 x4 x5 x7 5x8 2
3
2 1
13. 14. 24. 4x1 x2 x3 18
5 0 1
x1 4x2 x3 x4 18
1
12 6 0 7 5
x2 4x3 x4 x5 4
15. 2 3 2 16. 1 4 1
x3 4x4 x5 x6 4
0 6 13 0 2 3
x4 4x5 x6 x7 26
17. Interchange the rows of the system of linear equations in x5 4x6 x7 x8 16
Exercise 9 to obtain a system with a strictly diagonally domi- x6 4x7 x8 10
nant coefficient matrix. Then apply the Gauss-Seidel method x7 4x8 32
to approximate the solution to two significant digits.
18. Interchange the rows of the system of linear equations in
Exercise 10 to obtain a system with a strictly diagonally dom-
inant coefficient matrix. Then apply the Gauss-Seidel method
to approximate the solution to two significant digits.
