algorithm

Gauss–Seidel method

From Wikipedia, the free encyclopedia

In numerical linear algebra, the Gauss–Seidel method, also known as the Liebmann method or the method of successive displacement, is an iterative method used to solve a linear system of equations. It is named after the German mathematicians Carl Friedrich Gauss and Philipp Ludwig von Seidel, and is similar to the Jacobi method. Though it can be applied to any matrix with non-zero elements on the diagonals, convergence is guaranteed if the matrix is either diagonally dominant, or symmetric and positive definite.

http://en.wikipedia.org/wiki/Gauss%E2%80%93Seidel_method

Jacobi method

From Wikipedia, the free encyclopedia

In numerical linear algebra, the Jacobi method is an algorithm for determining the solutions of a system of linear equations with largest absolute values in each row and column dominated by the diagonal element. Each diagonal element is solved for, and an approximate value plugged in. The process is then iterated until it converges. This algorithm is a stripped-down version of the Jacobi transformation method of matrix diagonalization. The method is named after German mathematician Carl Gustav Jakob Jacobi.

http://en.wikipedia.org/wiki/Jacobi_method

Chebyshev iteration method

An iterative algorithm for finding a solution to a linear equation

(1)

that takes account of information about the inclusion of — the spectrum of the operator — in a certain set , and uses the properties and parameters of those polynomials that deviate least from zero on and are equal to 1 at 0.

The most well-developed Chebyshev iteration method is obtained when in (1),

is a linear self-adjoint operator and

, where

are the boundary points of the spectrum; then the Chebyshev iteration method uses the properties of the Chebyshev polynomials of the first kind,

. For this case one considers two types of Chebyshev iteration methods:

(2)

(3)

in which for a given one obtains a sequence as . In (2) and (3) and are the numerical parameters of the method. If , then the initial error and the error at the -th iteration are related by the formula

where

(4)

The polynomials are calculated using the parameters of each of the methods (2), (3): for method(2)

(5)

where are the elements of the permutation , while for method (3)they are calculated from the recurrence relations

(6)

Here

The methods (2) and (3) can be optimized on the class of problems for which

by choosing the parameters such that

in (4) is the polynomial least deviating from zero on

. It was proved in 1881 by P.L. Chebyshev that this is the polynomial

(7)

where . Then

(8)

where

Substituting (7) for

in (6), the parameters

of the method (3) are determined:

(9)

where

(10)

Thus, computing

and

by the formulas (9) and (10), one obtains the Chebyshev iteration method (3) for which

is optimally small for each

To optimize (2) for a given

, the parameters

are chosen corresponding to the permutation

in formula (5) in such a way that (7) holds, that is,

(11)

Then after iterations, inequality (8) holds for .

An important problem for small

is the question of the stability of the method (2), (5), (11). An imprudent choice of

may lead to a catastrophic increase in

for some

, to the loss of significant figures, or to an increase in the rounding-off errors allowed on intermediate iteration. There exist algorithms that mix the parameters in (11) and guarantee the stability of the calculations: for

see Iteration algorithm; and for

one of the algorithms for constructing

is as follows. Let

, and suppose that

has been constructed, then

(12)

There exists a class of methods (2) — the stable infinitely repeated optimal Chebyshev iteration methods — that allows one to repeat the method (2), (5), (11) after

iterations in such a way that it is stable and such that it becomes optimal again for some sequence

. For the case

, it is clear from the formula

(13)

that agrees with (11). If after iterations one repeats the iteration (2), (5), (11) further, taking for in (11) the values

(14)

then once again one obtains a Chebyshev iteration method after iterations. To ensure stability, the set(14) is decomposed into two sets: in the -th set, , one puts the for which is a root of the -th bracket in (13); within each of the subsets the are permuted according to the permutation . For one substitutes elements of the first set in (5), (11), and for one uses the second subset; the permutation is defined in the same way. Continuing in an analogous way the process of forming parameters, one obtains an infinite sequence , uniformly distributed on , called a -sequence, for which the method (2) becomes optimal with and

(15)

The theory of the Chebyshev iteration methods (2), (3) can be extended to partial eigen value problems. Generalizations also exist to a certain class of non-self-adjoint operators, when

lies in a certain interval or within a certain domain of special shape (in particular, an ellipse); when information is known about the distribution of the initial error; or when the Chebyshev iteration method is combined with the method of conjugate gradients.

One of the effective methods of speeding up to the convergence of the iterations (2), (3) is a preliminary transformation of equation (1) to an equivalent equation of the form

and the application of the Chebyshev iteration method to this equation. The operator is defined by taking account of two facts: 1) the algorithm for computing a quantity of the form should not be laborious; and 2) should lie in a set that ensures the fast convergence of the Chebyshev iteration method.

References

[1]	G.I. Marchuk, V.I. Lebedev, “Numerical methods in the theory of neutron transport” , Harwood (1986) (Translated from Russian)
[2]	N.S. Bakhvalov, “Numerical methods: analysis, algebra, ordinary differential equations” , MIR (1977) (Translated from Russian)
[3]	G.I. Marchuk, “Methods of numerical mathematics” , Springer (1982) (Translated from Russian)
[4]	A.A. Samarskii, “Theorie der Differenzverfahren” , Akad. Verlagsgesell. Geest u. Portig K.-D. (1984) (Translated from Russian)
[5a]	V.I. Lebedev, S.A. Finogenov, “The order of choices of the iteration parameters in the cyclic Chebyshev iteration method” Zh. Vychisl. Mat. i Mat. Fiz. , 11 : 2 (1971) pp. 425–438 (In Russian)
[5b]	V.I. Lebedev, S.A. Finogenov, “Solution of the problem of parameter ordering in Chebyshev iteration methods” Zh. Vychisl. Mat. i Mat. Fiz , 13 : 1 (1973) pp. 18–33 (In Russian)
[5c]	V.I. Lebedev, S.A. Finogenov, “The use of ordered Chebyshev parameters in iteration methods” Zh. Vychisl. Mat. i Mat. Fiz. , 16 : 4 (1976) pp. 895–907 (In Russian)
[6a]	V.I. Lebedev, “Iterative methods for solving operator equations with spectrum located on several segments” Zh. Vychisl. Mat. i Mat. Fiz. , 9 : 6 (1969) pp. 1247–1252 (In Russian)
[6b]	V.I. Lebedev, “Iteration methods for solving linear operator equations, and polynomials deviating least from zero” , Mathematical analysis and related problems in mathematics , Novosibirsk (1978) pp. 89–108 (In Russian)

V.I. Lebedev

Comments

In the Western literature the method (2), (5), (11) is known as the Richardson method of first degree [a2]or, more widely used, the Chebyshev semi-iterative method of first degree. The method goes back to an early paper of L.F. Richardson , where the method (2), (5) was already proposed. However, Richardson did not identify the zeros

with the zeros of (shifted) Chebyshev polynomials as done in (11), but (less sophisticatedly) sprinkled them uniformly over the interval

. The use of Chebyshev polynomials seems to be proposed for the first time in [a1] and [a3].

The “stable infinitely repeated optimal Chebyshev iteration methods” outlined above are based on the identity

, which immediately leads to the factorization

This formula has already been used in [a1] in the numerical determination of fundamental modes.

The method (3), (9) is known as Richardson’s method or Chebyshev’s semi-iterative method of second degree. It was suggested in [a9] and turns out to be completely stable; thus, at the cost of an extra storage array the instability problems associated with the first-degree process are avoided.

As to the choice of the transformation operator

(called “preconditioningpreconditioning” ), an often used “preconditionerpreconditioner” is the so-called SSOR matrix (Symmetric Successive Over-Relaxation matrix) proposed in [a8].

Introductions to the theory of Chebyshev semi-iterative methods are provided by [a2] and [a3]. An extensive analysis can be found in [a10], Chapt. 5 and in [a4]. In this work the spectrum of the operator

is assumed to be real. An analysis of the case where the spectrum is not real can be found in [a5].

Instead of using minimax polynomials, one may consider integral measures for “minimizing”

. This leads to the theory of kernel polynomials introduced in [a9] and extended in [a11], Chapt. 5.

Iterative methods as opposed to direct methods (cf. Direct method) only make sense when the matrix is sparse (cf. Sparse matrix). Moreover, their versatility depends on how large an error

is tolerated; often other errors, e.g., truncation errors in discretized systems of partial differential equations, are more dominant.

When no information about the eigen structure of

is available, or in the non-self-adjoint case, it is often preferable to use the method of conjugate gradients (cf. Conjugate gradients, method of). Numerical algorithms based on the latter method combined with incomplete factorization have proven to be one of the most efficient ways to solve linear problems up to now (1987).

References

[a1]	D.A. Flanders, G. Shortley, “Numerical determination of fundamental modes” J. Appl. Physics, 21 (1950) pp. 1326–1332
[a2]	G.E. Forsythe, W.R. Wasow, “Finite difference methods for partial differential equations” , Wiley (1960)
[a3]	G.H. Golub, C.F. van Loan, “Matrix computations” , North Oxford Acad. (1983)
[a4]	G.H. Golub, R.S. Varga, “Chebyshev semi-iterative methods, successive over-relaxation methods and second-order Richardson iterative methods I, II” Num. Math. , 3 (1961) pp. 147–156; 157–168
[a5]	T.A. Manteuffel, “The Tchebychev iteration for nonsymmetric linear systems” Num. Math. , 28 (1977) pp. 307–327
[a6a]	L.F. Richardson, “The approximate arithmetical solution by finite differences of physical problems involving differential equations, with an application to the stresses in a masonry dam” Philos. Trans. Roy. Soc. London Ser. A , 210 (1910) pp. 307–357
[a6b]	L.F. Richardson, “The approximate arithmetical solution by finite differences of physical problems involving differential equations, with an application to the stresses in a masonry dam” Proc. Roy. Soc. London Ser. A , 83 (1910) pp. 335–336
[a7]	G. Shortley, “Use of Tchebycheff-polynomial operators in the numerical solution of boundary-value problems” J. Appl. Physics , 24 (1953) pp. 392–396
[a8]	J.W. Sheldon, “On the numerical solution of elliptic difference equations” Math. Tables Aids Comp. , 9 (1955) pp. 101–112
[a9]	E.L. Stiefel, “Kernel polynomials in linear algebra and their numerical applications” , Appl. Math. Ser. , 49 , Nat. Bur. Standards (1958)
[a10]	R.S. Varga, “Matrix iterative analysis” , Prentice-Hall (1962)
[a11]	E.L. Wachspress, “Iterative solution of elliptic systems, and applications to the neutron diffusion equations of nuclear physics” , Prentice-Hall (1966) Extremal polynomials with application to Richardson iteration for indefinite linear systems (Technical summary report / Mathematics Research Center, University of Wisconsin–Madison)

Modified Richardson iteration

Modified Richardson iteration is an iterative method for solving a system of linear equations. Richardson iteration was proposed by Lewis Richardson in his work dated 1910. It is similar to the Jacobiand Gauss–Seidel method.

We seek the solution to a set of linear equations, expressed in matrix terms as

$A x = b.,$

The Richardson iteration is

$x^{(k+1)} = x^{(k)} + omega left( b - A x^{(k)} right),$

where ω is a scalar parameter that has to be chosen such that the sequence x^(k) converges.

It is easy to see that the method is correct, because if it converges, then $x^{(k+1)} approx x^{(k)}$ and x^(k) has to approximate a solution of Ax = b.

Convergence

Subtracting the exact solution x, and introducing the notation for the error $e^{(k)} approx x^{(k)}-x$ , we get the equality for the errors

e^{(k + 1)} = e^(k) − ωAe^(k) = (I − ωA)e^(k).

Thus,

$|e^{(k+1)}| = |(I-omega A) e^{(k)}|leq |I-omega A| |e^{(k)}|,$

for any vector norm and the corresponding induced matrix norm. Thus, if $|I-omega A|<1$ the method convergences.

Suppose that A is diagonalizable and that (λ_j,v_j) are the eigenvalues and eigenvectors of A. The error converges to 0 if | 1 − ωλ_j | < 1 for all eigenvalues λ_j. If, e.g., all eigenvalues are positive, this can be guaranteed if ω is chosen such that 0 < ω < 2 / λ_max(A). The optimal choice, minimizing all | 1 − ωλ_j | , is ω = 2 / (λ_min(A) + λ_max(A)), which gives the simplest Chebyshev iteration.

If there are both positive and negative eigenvalues, the method will diverge for any ω if the initial error e⁽⁰⁾ has nonzero components in the corresponding eigenvectors.

References

Richardson, L.F. (1910). “The approximate arithmetical solution by finite differences of physical problems involving differential equations, with an application to the stresses in a masonry dam”.Philos. Trans. Roy. Soc. London Ser. A 210: 307–357.
Vyacheslav Ivanovich Lebedev (2002). “Chebyshev iteration method”. Springer. Retrieved 2010-05-25. Appeared in Encyclopaedia of Mathematics (2002), Ed. by Michiel Hazewinkel, Kluwer – ISBN 1402006098
Extremal polynomials with application to Richardson iteration for indefinite linear systems (Technical summary report / Mathematics Research Center, University of Wisconsin–Madison)

Gram–Schmidt process

the Gram–Schmidt process is a method for orthonormalising a set of vectors in an inner product space, most commonly theEuclidean space Rⁿ. The Gram–Schmidt process takes a finite, linearly independent set S = {v₁, …, v_k} for k ≤ n and generates an orthogonal set S′ = {u₁, …, u_k} that spans the same k-dimensional subspace of Rⁿ as S.

The method is named for Jørgen Pedersen Gram and Erhard Schmidt but it appeared earlier in the work of Laplace and Cauchy. In the theory of Lie group decompositions it is generalized by theIwasawa decomposition.

The application of the Gram–Schmidt process to the column vectors of a full column rank matrix yields the QR decomposition (it is decomposed into an orthogonal and a triangular matrix).

The Gram–Schmidt process

We define the projection operator by

$mathrm{proj}_{mathbf{u}},(mathbf{v}) = {langle mathbf{v}, mathbf{u}rangleoverlangle mathbf{u}, mathbf{u}rangle}mathbf{u} ,$

where 〈u, v〉 denotes the inner product of the vectors u and v. This operator projects the vector v orthogonally onto the vector u.

The Gram–Schmidt process then works as follows:

$begin{align} mathbf{u}_1 & = mathbf{v}_1, & mathbf{e}_1 & = {mathbf{u}_1 over |mathbf{u}_1|} \ mathbf{u}_2 & = mathbf{v}_2-mathrm{proj}_{mathbf{u}_1},(mathbf{v}_2), & mathbf{e}_2 & = {mathbf{u}_2 over |mathbf{u}_2|} \ mathbf{u}_3 & = mathbf{v}_3-mathrm{proj}_{mathbf{u}_1},(mathbf{v}_3)-mathrm{proj}_{mathbf{u}_2},(mathbf{v}_3), & mathbf{e}_3 & = {mathbf{u}_3 over |mathbf{u}_3|} \ mathbf{u}_4 & = mathbf{v}_4-mathrm{proj}_{mathbf{u}_1},(mathbf{v}_4)-mathrm{proj}_{mathbf{u}_2},(mathbf{v}_4)-mathrm{proj}_{mathbf{u}_3},(mathbf{v}_4), & mathbf{e}_4 & = {mathbf{u}_4 over |mathbf{u}_4|} \ & {} vdots & & {} vdots \ mathbf{u}_k & = mathbf{v}_k-sum_{j=1}^{k-1}mathrm{proj}_{mathbf{u}_j},(mathbf{v}_k), & mathbf{e}_k & = {mathbf{u}_kover |mathbf{u}_k |}. end{align}$

The first two steps of the Gram–Schmidt process

The sequence u₁, …, u_k is the required system of orthogonal vectors, and the normalized vectors e₁, …, e_k form an orthonormal set. The calculation of the sequence u₁, …, u_k is known as Gram–Schmidt orthogonalization, while the calculation of the sequence e₁, …,e_k is known as Gram–Schmidt orthonormalization as the vectors are normalized.

To check that these formulas yield an orthogonal sequence, first compute 〈u₁, u₂〉 by substituting the above formula for u₂: we get zero. Then use this to compute 〈u₁, u₃〉 again by substituting the formula for u₃: we get zero. The general proof proceeds bymathematical induction.

Geometrically, this method proceeds as follows: to compute u_i, it projects v_i orthogonally onto the subspace U generated by u₁, …,u_i−1, which is the same as the subspace generated by v₁, …, v_i−1. The vector u_i is then defined to be the difference between v_i and this projection, guaranteed to be orthogonal to all of the vectors in the subspace U.

The Gram–Schmidt process also applies to a linearly independent infinite sequence {v_i}_i. The result is an orthogonal (or orthonormal) sequence {u_i}_i such that for natural number n: the algebraic span of v₁, …, v_n is the same as that of u₁, …, u_n.

If the Gram–Schmidt process is applied to a linearly dependent sequence, it outputs the 0 vector on the ith step, assuming that v_i is a linear combination of v₁, …, v_i−1. If an orthonormal basis is to be produced, then the algorithm should test for zero vectors in the output and discard them because no multiple of a zero vector can have a length of 1. The number of vectors output by the algorithm will then be the dimension of the space spanned by the original inputs.

Numerical stability

When this process is implemented on a computer, the vectors u_k are often not quite orthogonal, due to rounding errors. For the Gram–Schmidt process as described above (sometimes referred to as “classical Gram–Schmidt”) this loss of orthogonality is particularly bad; therefore, it is said that the (classical) Gram–Schmidt process is numerically unstable.

The Gram–Schmidt process can be stabilized by a small modification. Instead of computing the vector u_k as

$mathbf{u}_k = mathbf{v}_k - mathrm{proj}_{mathbf{u}_1},(mathbf{v}_k) - mathrm{proj}_{mathbf{u}_2},(mathbf{v}_k) - cdots - mathrm{proj}_{mathbf{u}_{k-1}},(mathbf{v}_k),$

it is computed as

$begin{align} mathbf{u}_k^{(1)} &= mathbf{v}_k - mathrm{proj}_{mathbf{u}_1},(mathbf{v}_k), \ mathbf{u}_k^{(2)} &= mathbf{u}_k^{(1)} - mathrm{proj}_{mathbf{u}_2} , (mathbf{u}_k^{(1)}), \ & ,,, vdots \ mathbf{u}_k^{(k-2)} &= mathbf{u}_k^{(k-3)} - mathrm{proj}_{mathbf{u}_{k-2}} , (mathbf{u}_k^{(k-3)}), \ mathbf{u}_k^{(k-1)} &= mathbf{u}_k^{(k-2)} - mathrm{proj}_{mathbf{u}_{k-1}} , (mathbf{u}_k^{(k-2)}). end{align}$

Each step finds a vector $mathbf{u}_k^{(i)}$ orthogonal to $mathbf{u}_k^{(i-1)}$ . Thus $mathbf{u}_k^{(i)}$ is also orthogonalized against any errors introduced in computation of $mathbf{u}_k^{(i-1)}$ . This approach (sometimes referred to as “modified Gram–Schmidt”) gives the same result as the original formula in exact arithmetic and introduces smaller errors in finite-precision arithmetic.

The following algorithm implements the stabilized Gram–Schmidt orthonormalization. The vectors v₁, …, v_k are replaced by orthonormal vectors which span the same subspace.

for j from 1 to k do

for i from 1 to j − 1 do

$mathbf{v}_j leftarrow mathbf{v}_j - mathrm{proj}_{mathbf{v}_{i}} , (mathbf{v}_j)$ (remove component in direction v_i)

next i

$mathbf{v}_j leftarrow frac{mathbf{v}_j}{|mathbf{v}_j|}$ (normalize)

next j

The cost of this algorithm is asymptotically 2nk² floating point operations, where n is the dimensionality of the vectors (Golub & Van Loan 1996, §5.2.8)