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Gauss-Seidel Method: Description

The Gauss-Seidel method is an iterative technique for solving systems of linear equations. It works by decomposing the coefficient matrix A into lower and upper triangular matrices, and then sequentially solving for each unknown using the most recent approximations. Unlike the similar Jacobi method, Gauss-Seidel overwrites solutions and only requires one storage vector, making it more efficient for large problems. It converges when the matrix is symmetric positive-definite or strictly diagonally dominant.

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126 views4 pages

Gauss-Seidel Method: Description

The Gauss-Seidel method is an iterative technique for solving systems of linear equations. It works by decomposing the coefficient matrix A into lower and upper triangular matrices, and then sequentially solving for each unknown using the most recent approximations. Unlike the similar Jacobi method, Gauss-Seidel overwrites solutions and only requires one storage vector, making it more efficient for large problems. It converges when the matrix is symmetric positive-definite or strictly diagonally dominant.

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GAUSS–SEIDEL METHOD

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 only guaranteed if the matrix is either
strictly diagonally dominant, or symmetric and positive definite.

 Description
The Gauss–Seidel method is an iterative technique for solving a
square system of n linear equations with unknown x:

It is defined by the iteration

where x(k) is the kth approximation or iteration of x,x(k+1) is the next


or k + 1 iteration of x, and the matrix A is decomposed into a lower
triangular component L*, and a strictly upper
triangular component U.A=L*+U
In more detail, write out A, x and b in their components:

Then the decomposition of A into its lower triangular component and


its strictly upper triangular component is given by:
The system of linear equations may be rewritten as:

The Gauss–Seidel method now solves the left hand side of this
expression for x, using previous value for x on the right hand side.
Analytically, this may be written as:

However, by taking advantage of the triangular form of L*,the


elements of x(K+1) can be computed sequentially using forward
substitution:

The procedure is generally continued until the changes made by an


iteration are below some tolerance, such as a sufficiently small
residual.

Discussion

The element-wise formula for the Gauss–Seidel method is extremely


similar to that of the Jacobi method.

The computation of x(k+1) uses the elements of x(k+1) that have already
been computed, and only the elements of x(k) that have not been
computed in the k+1 iteration. This means that, unlike the Jacobi
method, only one storage vector is required as elements can be
overwritten as they are computed, which can be advantageous for
very large problems.
However, unlike the Jacobi method, the computations for each
element cannot be done in parallel. Furthermore, the values at each
iteration are dependent on the order of the original equations.

Gauss-Seidel is the same as SOR (successive over-relaxation) with


w=1

Convergence

The convergence properties of the Gauss–Seidel method are


dependent on the matrix A. Namely, the procedure is known to
converge if either:

 A is symmetric positive-definite, or

 A is strictly or irreducibly diagonally dominant.

The Gauss–Seidel method sometimes converges even if these


conditions are not satisfied.
References
 Gauss, Carl Friedrich (1903), Werke (in German), 9, Göttingen: Köninglichen
Gesellschaft der Wissenschaften.
 Golub, Gene H.; Van Loan, Charles F. (1996), Matrix Computations (3rd ed.),
Baltimore: Johns Hopkins, ISBN 978-0-8018-5414-9.
 Black, Noel and Moore, Shirley. "Gauss-Seidel Method". MathWorld.
This article incorporates text from the article Gauss-Seidel_method on CFD-Wiki that is
under the GFDL license.

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