Lecture 09: Iterative solutions of linear equations

Lecture 09: Iterative solutions of linear equations#

Direct methods#

  • Gaussian elimination and LU factorisation are characterised as direct methods.

  • They are guaranteed to produce a solution with a fixed amount of work (in exact arithmetic).

  • This fixed amount of work may be very large.

For a general \(n \times n\) matrix system \(A \vec{x} = \vec{b}\):

  • the computational expense of all the direct methods is \(O(n^3)\), i.e. increasing \(n\) by a factor of 10 increases the computational work by a factor of 1000;

  • the amount of storage required for these approaches is \(O(n^2)\), and is dominated by the matrix \(A\);

  • as \(n\) becomes large the storage and computational work required limit the practicality of the method.

Iterative methods#

It is possible to construct an iteration which will improve an approximation \(\vec{x}^{(k)}\) to the solution of (linear) equations \(A \vec{x} = \vec{b}\).

  • The iteration takes the form

    \[ \vec{x}^{(k+1)} = \vec{F}(\vec{x}^{(k)}) \]

    where \(\vec{x}^{(k)}\) is now a vector of values and \(\vec{F}\) is some vector function, yet to be defined.

  • Often a reasonable approximation to \(\vec{x}\) is available which can be used to initiate the iterative method.

  • Sometimes there is no obvious initial approximation available. The method may still converge but take more iterations.

  • When should we stop?

Some very bad examples#

Example 1

Consider

\[ \vec{F}(\vec{x}^{(k)}) = \vec{x}^{(k)}. \]

Each iteration is very cheap to compute but very inaccurate - it never converges!

Example 2

Consider

\[ \vec{F}(\vec{x}^{(k)}) = \vec{x}^{(k)} + A^{-1} (\vec{b} - A \vec{x}^{(k)}). \]

Each iteration is very expensive to compute - you have to invert \(A\)! - but it converges in just one step since

\[\begin{split} \begin{aligned} A \vec{x}^{(k+1)} & = A \vec{x}^{(k)} + A A^{-1} (\vec{b} - A \vec{x}^{(k)}) \\ & = A \vec{x}^{(k)} + \vec{b} - A \vec{x}^{(k)} \\ & = \vec{b}. \end{aligned} \end{split}\]

Key idea

Construct iteration given by

\[ \vec{F}(\vec{x}^{(k)}) = \vec{x}^{(k)} + P (\vec{b} - A \vec{x}^{(k)}). \]

for some matrix \(P\) such that

  • \(P\) is easy to compute, or the matrix vector product \(P \vec{r}\) is easy to compute,

  • \(P\) approximates \(A^{-1}\) well enough that the algorithm converges in few iterations.

Jacobi iteration#

Consider the system \(A \vec{x} = \vec{b}\) but rewrite the matrix \(A\) as

\[ A = D + (A - D), \]

where \(D\) is the diagonal of \(A\), i.e.

\[ D_{ii} = A_{ii} \quad \text{ and } \quad D_{ij} = 0 \text{ for } i \neq j. \]

Manipulations give

\[\begin{split} \begin{aligned} A \vec{x} = (D + (A-D)) \vec{x} & = \vec{b} \\ D \vec{x} & = \vec{b} - (A-D) \vec{x} \\ D \vec{x} & = D \vec{x} + (\vec{b} - A \vec{x}) \\ \vec{x} = \vec{x} + D^{-1} (\vec{b} - A \vec{x}). \end{aligned} \end{split}\]

That is take \(P = D^{-1}\)!

The Jacobi iteration is given by

\[ \vec{x}^{(k+1)} = \vec{x}^{(k)} + D^{-1}(\vec{b} - A \vec{x}^{(k)}) \]

  • \(D\) is a diagonal matrix, so \(D^{-1}\) is trivial to form (as long as the diagonal entries are all nonzero).

  • \(\vec{b} - A \vec{x}^{(k)} = \vec{r}\) is call the residual.

Notes#

  • The cost of one iteration is \(O(n^2)\) for a full matrix, and this is dominated by the matrix-vector product \(A \vec{x}^{(k)}\).

  • This cost can be reduced to \(O(n)\) if the matrix \(A\) is sparse - this is when iterative methods are especially attractive (see next lecture).

  • The amount of work also depends on the number of iterations required to get a “satisfactory” solution.

    • The number of iterations depends on the matrix;

    • Fewer iterations are needed for a less accurate solution;

    • A good initial estimate \(\vec{x}^{(0)}\) reduces the required number of iterations.

  • Unfortunately, the iteration might not converge!

Component by component#

The Jacobi iteration updates all elements of \(\vec{x}^{(k)}\) simultaneously to get \(\vec{x}^{(k+1)}\).

Writing the method out component by component gives

\[\begin{split} \begin{aligned} x_1^{(k+1)} &= x_1^{(k)} + \frac{1}{A_{11}} \left( b_1 - \sum_{j=1}^n A_{1j} x_j^{(k)} \right) \\ x_2^{(k+1)} &= x_2^{(k)} + \frac{1}{A_{22}} \left( b_2 - \sum_{j=1}^n A_{2j} x_j^{(k)} \right) \\ \vdots \quad & \hphantom{=} \quad \vdots \\ x_n^{(k+1)} &= x_n^{(k)} + \frac{1}{A_{nn}} \left( b_n - \sum_{j=1}^n A_{nj} x_j^{(k)} \right). \end{aligned} \end{split}\]

Note that once the first step has been taken, \(x_1^{(k+1)}\) is already known, but the Jacobi iteration does not make use of this information!

Gauss-Seidel iteration#

Alternatively, the iteration might use \(x_i^{(k+1)}\) as soon as it is calculated, giving

\[\begin{split} \begin{aligned} x_1^{(k+1)} & = x_1^{(k)} + \frac{1}{A_{11}} \left( b_1 - \sum_{j=1}^n A_{1j} x_j^{(k)} \right) \\ x_2^{(k+1)} & = x_2^{(k)} + \frac{1}{A_{22}} \left( b_2 - A_{21} x_1^{(k+1)} - \sum_{j=2}^n A_{2j} x_j^{(k)} \right) \\ x_3^{(k+1)} & = x_3^{(k)} + \frac{1}{A_{33}} \left( b_3 - \sum_{j=1}^2 A_{3j} x_j^{(k+1)} - \sum_{j=3}^n A_{3j} x_j^{(k)} \right) \\ \vdots \quad & \hphantom{=} \quad \vdots \\ x_i^{(k+1)} & = x_i^{(k)} + \frac{1}{A_{ii}} \left( b_i - \sum_{j=1}^{i-1} A_{ij} x_j^{(k+1)} - \sum_{j=i}^n A_{ij} x_j^{(k)} \right) \\ \vdots \quad & \hphantom{=} \quad \vdots \\ x_n^{(k+1)} & = x_n^{(k)} + \frac{1}{A_{nn}} \left( b_n - \sum_{j=1}^{n-1} A_{nj} x_j^{(k+1)} - A_{nn} x_n^{(k)} \right). \end{aligned} \end{split}\]

Consider the system \(A \vec{x}= b\) but rewrite the matrix \(A\) as

\[ A = D + L + U, \]

where \(D\) is the diagonal of \(A\), \(L\) contains the elements below the diagonal and \(U\) contains the elements above the diagonal.

The system can be manipulated to give

\[\begin{split} \begin{aligned} A \vec{x} = (D + L + U) \vec{x} & = \vec{b} \\ (D + L) \vec{x} & = \vec{b} - U \vec{x} \\ (D + L) \vec{x} & = (D + L) \vec{x} + (\vec{b} - A \vec{x}) \\ \vec{x} & = \vec{x} + (D + L)^{-1} (\vec{b} - A \vec{x}), \end{aligned} \end{split}\]

…and hence the Gauss-Seidel iteration

\[ \vec{x}^{(k+1)} = \vec{x}^{(k)} + (D + L)^{-1} (\vec{b} - A \vec{x}^{(k)}). \]

That is \(P = (D+L)^{-1}\).

Example 1#

Take two iterations of (i) Jacobi iteration; (ii) Gauss-Seidel iteration to approximate the solution of the following system using the initial guess \(\vec{x}^{(0)} = (1, 1)^T\):

\[\begin{split} \begin{pmatrix} 2 & 1 \\ -1 & 4 \end{pmatrix} \begin{pmatrix} x_1 \\ x_2 \end{pmatrix} = \begin{pmatrix} 3.5 \\ 0.5 \end{pmatrix} \end{split}\]

  • What happens if the initial estimate is altered to \(\vec{x}^{(0)} = (2, 1)^T\) (homework).

  • Note that the exact solution to this system is \(x_1 = 1.5\) and \(x_2 = 0.5\).

(i) Jacobi iteration#

Starting from \(\vec{x}^{(0)} = (2, 1)^T\) we have

Iteration 1:

\[\begin{split} \begin{aligned} x^{(1)}_1 & = x^{(0)}_1 + \frac{1}{A_{11}} (b_1 - A_{11} x^{(0)}_1 - A_{12} x^{(0)}_2) \\ & = 2 + \frac{1}{2} (3.5 - 2 \times 2 - 1 \times 1) = 1.25 \\ x^{(1)}_2 & = x^{(0)}_2 + \frac{1}{A_{22}} (b_2 - A_{21} x^{(0)}_1 - A_{22} x^{(0)}_2) \\ & = 1 + \frac{1}{4} (0.5 - (-1) \times 2 - 4 \times 1) = 0.625. \end{aligned} \end{split}\]

Iteration 2:

\[\begin{split} \begin{aligned} x^{(2)}_1 & = x^{(1)}_1 + \frac{1}{A_{11}} (b_1 - A_{11} x^{(1)}_1 - A_{12} x^{(1)}_2) \\ & = 1.25 + \frac{1}{2} (3.5 - 2 \times 1.25 - 1 \times 0.625) = 1.4375 \\ x^{(2)}_2 & = x^{(1)}_2 + \frac{1}{A_{22}} (b_2 - A_{21} x^{(1)}_1 - A_{22} x^{(1)}_2) \\ & = 0.625 + \frac{1}{4} (0.5 - (-1) \times 1.25 - 4 \times 0.625) = 0.4375. \end{aligned} \end{split}\]

Note the only difference between the formulae for Iteration 1 and 2 is the iteration number, the superscript in brackets.

(ii) Gauss-Seidel iteration#

Starting from \(\vec{x}^{(0)} = (2, 1)^T\) we have

Iteration 1:

\[\begin{split} \begin{aligned} x^{(1)}_1 & = x^{(0)}_1 + \frac{1}{A_{11}} (b_1 - A_{11} x^{(0)}_1 - A_{12} x^{(0)}_2) \\ & = 2 + \frac{1}{2} (3.5 - 2 \times 2 - 1 \times 1) = 1.25 \\ x^{(1)}_2 & = x^{(0)}_2 + \frac{1}{A_{22}} (b_2 - A_{21} x^{(1)}_1 - A_{22} x^{(0)}_2) \\ & = 1 + \frac{1}{4} (0.5 - (-1) \times 1.25 - 4 \times 1) = 0.4375. \end{aligned} \end{split}\]

Iteration 2:

\[\begin{split} \begin{aligned} x^{(2)}_1 & = x^{(1)}_1 + \frac{1}{A_{11}} (b_1 - A_{11} x^{(1)}_1 - A_{12} x^{(1)}_2) \\ & = 1.25 + \frac{1}{2} (3.5 - 2 \times 1.25 - 1 \times 0.4375) = 1.53125 \\ x^{(2)}_2 & = x^{(1)}_2 + \frac{1}{A_{22}} (b_2 - A_{21} x^{(2)}_1 - A_{22} x^{(1)}_2) \\ & = 0.4375 + \frac{1}{4} (0.5 - (-1) \times 1.53125 - 4 \times 0.4375) = 0.5078125. \end{aligned} \end{split}\]

Again, note the changes in the iteration number on the right hand side of these equations, especially the differences against the Jacobi method.

Example 2 (homework)#

Take one iteration of (i) Jacobi iteration; (ii) Gauss-Seidel iteration to approximate the solution of the following system using the initial guess \(\vec{x}^{(0)} = (1, 2, 3)^T\):

\[\begin{split} \begin{pmatrix} 2 & 1 & 0 \\ 1 & 3 & 1 \\ 0 & 1 & 2 \end{pmatrix} \begin{pmatrix} x_1 \\ x_2 \\ x_3 \end{pmatrix} = \begin{pmatrix} 6 \\ 10 \\ 6 \end{pmatrix}. \end{split}\]

Note that the exact solution to this system is \(x_1 = 2, x_2 = 2, x_3 = 2\).

Notes#

  • Here both methods converge, but fairly slowly. They might not converge at all!

  • We will discuss convergence and stopping criteria in the next lecture.

  • The Gauss-Seidel iteration generally out-performs the Jacobi iteration.

  • Performance can depend on the order in which the equations are written.

  • Both iterative algorithms can be made faster and more efficient for sparse systems of equations (far more than direct methods).

Summary#

  • Many complex computational problems simply cannot be solved with today’s computers using direct methods.

  • Iterative methods are used instead since they can massively reduce the computational cost and storage required to get a “good enough” solution.

  • These basic iterative methods are simple to describe and program but generally slow to converge to an accurate answer - typically \(O(n)\) iterations are required.

  • Their usefulness for general matrix systems is very limited therefore - next lecture we will show their value in the solution of sparse systems however.

  • More advanced iterative methods do exist but are beyond the scope of this module - see Final year projects, MSc projects, PhD, and beyond!

Further reading#

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