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Module 3 - Iterative Methods For Solving Linear Systems

The document discusses iterative methods for solving linear systems, specifically the Jacobi and Gauss-Seidel methods. The Jacobi method requires a unique solution and non-zero diagonal entries, while the Gauss-Seidel method improves upon Jacobi by using updated values immediately after they are calculated. Examples are provided for both methods to illustrate their application in solving systems of linear equations.

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14 views4 pages

Module 3 - Iterative Methods For Solving Linear Systems

The document discusses iterative methods for solving linear systems, specifically the Jacobi and Gauss-Seidel methods. The Jacobi method requires a unique solution and non-zero diagonal entries, while the Gauss-Seidel method improves upon Jacobi by using updated values immediately after they are calculated. Examples are provided for both methods to illustrate their application in solving systems of linear equations.

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23-03743
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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34

ITERATIVE METHODS FOR SOLVING LINEAR SYSTEMS

As a numerical technique, Gaussian and Gauss-Jordan elimination are rather unusual


because it is direct. That is, a solution is obtained after a single application of Gaussian elimination.
Once a “solution” 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. In this section you will
look at two iterative methods for approximating the solution of a system of n equations in n
variables.

 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 is given by

Has a unique solution and (2) that the coefficient matrix A has no zeros in its main diagonal. If any
of the diagonal entries 𝑎𝑎11 , 𝑎𝑎22 , … … . . , 𝑎𝑎𝑛𝑛𝑛𝑛 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 𝑥𝑥1 , the second equation for 𝑥𝑥2 , and
so on, as follows:

Then make an initial approximation of the solution.

MODULE 3 ENGG 414 NUMERICAL METHODS AND ANALYSIS


35

(𝑥𝑥1 , 𝑥𝑥2 , 𝑥𝑥3 , … … , 𝑥𝑥𝑛𝑛 ) initial approximation

and substitute these values of 𝑥𝑥𝑖𝑖 into the right-hand side of the rewritten equations to obtain the
first approximation. After this procedure has been completed, one iteration has been 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.

EXAMPLE NO. 3.3:

Use the Jacobi method to find the solution to the system of linear equations in the previous
example. Perform 7 iterations.

MODULE 3 ENGG 414 NUMERICAL METHODS AND ANALYSIS


36

 GAUSS-SEIDEL METHOD

We 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 𝑥𝑥𝑖𝑖 obtained in the nth approximation remain
unchanged until the entire (𝑛𝑛 + 1)𝑡𝑡ℎ approximation has been calculated. With the Gauss-Seidel
method, on the other hand, you use the new values of 𝑥𝑥𝑖𝑖 as soon as they are known. That is, once
you have determined 𝑥𝑥1 from the first equation, its value is used in the second equation to obtain
the new 𝑥𝑥2 . Similarly, the new 𝑥𝑥1 and 𝑥𝑥2 are used in the third equation to obtain the new 𝑥𝑥3 , and
so on.

Graphical depiction of the difference between (a) Gauss-Seidel method and (b) Jacobi method
for solving simultaneous linear algebraic equations

MODULE 3 ENGG 414 NUMERICAL METHODS AND ANALYSIS


37

EXAMPLE No. 3.4


Solve the system of linear equations on the previous examples using Gauss-Seidel
iteration. Use: Pre-specified Stopping Criterion: 1%

 https://www.youtube.com/watch?v=fdNezMRTCZI
 https://www.youtube.com/watch?v=AhUyh-2aPEc
 https://www.youtube.com/watch?v=QTQ8bO1F-Dg
 https://www.youtube.com/watch?v=hQnGKXC-
XI8
 https://www.youtube.com/watch?v=HbqGnFU62-Y

MODULE 3 ENGG 414 NUMERICAL METHODS AND ANALYSIS

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