# Iterative methods

(Difference between revisions)
 Revision as of 00:00, 19 December 2005 (view source)Jasond (Talk | contribs)m← Older edit Revision as of 13:58, 19 December 2008 (view source)m (bocernomonou)Newer edit → Line 1: Line 1: + ergetorrel We seek the solution to the linear system of equations
We seek the solution to the linear system of equations
:$Ax = b$
:$Ax = b$

## Revision as of 13:58, 19 December 2008

ergetorrel We seek the solution to the linear system of equations

$Ax = b$

Iterative methods, unlike direct methods, generate a sequence of approximate solutions to the system that (hopefully) converges to the exact solution. After k iterations, we obtain an approximation to the exact solution as:

$Ax^{(k)} = b - r^{(k)},$

where $r^{(k)}$ is the residual after k iterations.
Defining

$\varepsilon ^{(k)} = x - x^{(k)}$

as the difference between the exact and approaximate solution, we obtain

$A\varepsilon ^{(k)} = r^{(k)}.$

The purpose of iterations is to drive this residual to zero.

### Stationary Iterative Methods

Iterative methods that can be expressed in the simple form

$x^{(k+1)} = Bx^{(k)} + c$

when neither B nor c depend upon the iteration count (k), the iterative method is called stationary iterative method. Some of the stationary iterative methods are

1. Jacobi method
2. Gauss-Seidel method
3. Successive Overrelaxation (SOR) method and
4. Symmetric Successive Overrelaxation (SSOR) method

The convergence of such iterative methods can be investigated using the Fixed point theorem.

### Nonstationary Iterative Methods

When during the iterations B and c changes during the iterations, the method is called Nonstationary Iterative Method. Typically, constants B and c are computed by taking inner products of residuals or other vectors arising from the iterative method.

Some examples are: