Review

Iterative Methods
Relaxation
Summary

I TERATIVE M ETHOD FOR E LLIPTIC PDE S

Dr. Johnson

School of Mathematics

Semester 1 2008

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Dr. Johnson MATH65241

 Review
Iterative Methods
Relaxation
Summary

O UTLINE

1 R EVIEW

2 I TERATIVE M ETHODS
Point Iteration
Residual
Gauss-Siedel iteration

3 R ELAXATION
Relaxation and SOR
Line Relaxation

4 S UMMARY
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Dr. Johnson MATH65241

 Review
Iterative Methods
Relaxation
Summary

We have shown how to discretise a model elliptic problem.

∂2 φ ∂2 φ
+ 2 = f (x, y ),
∂x 2 ∂y

The discretised equations can be expressed as the matrix

equation.

Aw = f
Usually solve using iterative techniques.
The matrix form helps us think about methods in an abstract
way.
The matrix form will allow us to analyse the stability and
convergence of schemes. university-logo

Dr. Johnson MATH65241

 Review
Point Iteration
Iterative Methods
Residual
Relaxation
Gauss-Siedel iteration
Summary

I TERATIVE M ETHODS

Point relaxation. Jacobi, Gauss-Seidel, SOR

Line Relaxation
Conjugate gradient and PCG methods
Minimal residual methods
Multigrid
Fast Direct Methods (FFT)

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Dr. Johnson MATH65241

 Review
Point Iteration
Iterative Methods
Residual
Relaxation
Gauss-Siedel iteration
Summary

J ACOBI M ETHOD

Rewrite the discrete equations

wi +1,j − 2wi,j + wi −1,j wi,j +1 − 2wi,j + wi,j −1

2
+ = fi,j ,
∆x ∆y 2

for 1 ≤ i ≤ N − 1, and 1 ≤ j ≤ M − 1.
as

1
wi +1,j + wi −1,j + β2 (wi,j +1 + wi,j −1 ) − ∆x 2 fi,j
£ ¤
wi,j = 2
2 + 2β

with β = ∆x /∆y .
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Dr. Johnson MATH65241

 Review
Point Iteration
Iterative Methods
Residual
Relaxation
Gauss-Siedel iteration
Summary

J ACOBI M ETHOD

This suggests the iterative scheme

q +1 1 h
q q 2 q q 2
i
wi,j = w i +1,j + w i −1,j + β ( w i,j +1 + w i,j −1 ) − ∆x fi,j
2 + 2β2
q
here wi,j is the qth guess at the solution.
How do we know when we have the real solution?
We must define some convergence criteria.

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Dr. Johnson MATH65241

 Review
Point Iteration
Iterative Methods
Residual
Relaxation
Gauss-Siedel iteration
Summary

E RRORS IN THE SCHEME

Suppose we write the linear system as

Av = f
where v is the exact solution of the linear system.
If w is an approximate solution, the error e is defined by

e = v − w.

Thus

Ae = A(v − w) = f − Aw.
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Dr. Johnson MATH65241

 Review
Point Iteration
Iterative Methods
Residual
Relaxation
Gauss-Siedel iteration
Summary

D EFINING THE RESIDUAL

The residual is defined by

r = f − Aw.

We don’t know the exact solution...

but we can calculate the residual.
The residual is related to the error,

e = 0 if and only if r = 0

So, we choose the magnitude of the residual as the

convergence criteria.
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Dr. Johnson MATH65241

 Review
Point Iteration
Iterative Methods
Residual
Relaxation
Gauss-Siedel iteration
Summary

J ACOBI R ESIDUAL

For the Jacobi scheme the residual is given by

ri,j = wi +1,j + wi −1,j − (2 + 2β2 )wi,j + β2 (wi,j +1 + wi,j −1 ) − ∆x 2 fi,j

Suitable stopping conditions might be

r
max |ri,j | < ǫ,
i,j
or ∑ ri,j2 < ǫ
i,j

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Dr. Johnson MATH65241

 Review
Point Iteration
Iterative Methods
Residual
Relaxation
Gauss-Siedel iteration
Summary

G AUSS -S IEDEL M ETHOD

In this iterative scheme we use the most up-to-date values of

w

q +1 1 h
q q +1 2 q q +1 2
i
wi,j = w i +1,j + w i −1,j + β ( w i,j +1 + w i,j −1 ) − ∆x fi,j
2 + 2β2
q
here wi,j is again the qth guess at the solution,
and we have already calculated w at (i − 1, j ) and (i, j − 1)
Gauss-Siedel will usually converge faster than Jacobi iteration.

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Dr. Johnson MATH65241

 Review
Iterative Methods Relaxation and SOR
Relaxation Line Relaxation
Summary

FASTER C ONVERGENCE WITH R ELAXATION

Point iteration can be slow to converge.

A faster way to find the solution is overestimate the correction
at each point.
We call this relaxation.
We define
q +1 q ∗
wi,j = (1 − ω )wi,j + ωwi,j
∗ is the solution from the iteration scheme.
where wi,j
ω is the relaxation factor.

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Dr. Johnson MATH65241

 Review
Iterative Methods Relaxation and SOR
Relaxation Line Relaxation
Summary

S UCCESSIVE O VER R ELAXATION

If ω = 1 we just have the Jacobi or Gauss-Seidel scheme.

If ω > 1 with Gauss-Seidel then it is called successive
overrelaxation ot the SOR scheme
Theorems can show that 0 < ω < 2 is a condition for a
scheme to converge.
If we choose ω < 1 then we under-relax, and the convergence
will be slower.
This can be used to bound errors in unstable schemes.

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Dr. Johnson MATH65241

 Review
Iterative Methods Relaxation and SOR
Relaxation Line Relaxation
Summary

M ORE D IRECT M ETHODS

The Jacobi, Gauss-Seidel and SOR schemes are called point
relaxation methods.
We can compute a whole line of new values using a direct
method,
this leads to line-relaxation methods.
y

x
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Dr. Johnson MATH65241

 Review
Iterative Methods Relaxation and SOR
Relaxation Line Relaxation
Summary

L INE R ELAXATION

Keeping i constant, we may write the system of equations

q +1 q +1 2 q +1 q q +1
β2 wi,j 2 2
+1 − (2 + 2β )wi,j + β wi,j −1 = ∆x fi,j − (wi +1,j + wi −1,j )

for 1 ≤ j ≤ M − 1.
We can solve this system using a direct-solver.
We can also over-relax

wqi +1 = (1 − ω )wqi + ωwi∗

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Dr. Johnson MATH65241

 Review
Iterative Methods
Relaxation
Summary

R ELAXATION M ETHODS

The model equations can be rewritten

wi +1,j − 2wi,j + wi −1,j wi,j +1 − 2wi,j + wi,j −1

+ = fi,j ,
∆x 2 ∆y 2

How up-to-date the values are define different schemes

We can over-relax to improve convergence

q +1 q ∗
wi,j = (1 − ω )wi,j + ωwi,j

and also solve a line (or block) using a direct method.

Next up - convergence properties...
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Dr. Johnson MATH65241