Professional Documents
Culture Documents
e(k+1) = Be(k)
(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
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 sin h
.
1 + sin 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)]
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
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
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
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