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uh(xj , yk ) | 1 ≤ j, k ≤ N
(m+1) (m)
uh = Quh + Gh (8)
In this block matrix description of the system being
solved, each block uh(∗, yk ) corresponds to the hori-
zontal row of interior grid points at y = yk , with the
entries in uh(∗, yk ) being ordered in correspondence
to the grid points being numbered from left to right in
the grid. Note that Q is a symmetric matrix of order
(N − 1)2.
rσ (Q) < 1
Note in this case that
Q1 = Q∞ = 1
Thus we are driven to looking at rσ (Q), and in this
case Q2 = rσ (Q).
GAUSS-SEIDEL ITERATION
Introduce
π
ξ = 1 − 2 sin2 (11)
2N
∗ 2
ω =
1 + sqrt 1 − ξ 2
Then for the rates of convergence of the various itera-
tion methods we have studied when applied to solving
(7), uh = Quh + Gh, we have
Rate of Convergence
Method rσ (M )
Jacobi ξ
Gauss-Seidel ξ2
SOR ω∗ − 1
THE RATE OF CONVERGENCE OF SOR
Cost(c, ε, n) = 5nm∗
APPLICATION TO SOLVING
POISSON’S EQUATION
Gauss-Jacobi :
c=ξ= 1
1 − 2 π h + O h4
2 2
δ ≈ 12 π 2h2
Gauss-Seidel :
c= ξ2 = 1 − π 2h2 + O h4
δ ≈ π 2h2
SOR :
c = ω ∗ − 1 = 1 − 2πh + O h2
δ ≈ 2πh
The improvement in the needed numbers of iterates
is as follows, along with total costs for a desired ac-
curacy.
(0)
How to generate an initial guess uh ? Since we know
the solution on the boundary,
ANq−1 δ = Rq,q−1R
uNq ≈ v + δ
This converges extremely rapidly; and there are pub-
lic domain packages available which implement it for
common classes of partial differential equations. In
general these are the fastest means of solving dis-
cretizations of PDEs.
DIRECT METHODS
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