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Module-2 System of Linear Equations and Eigen Value Problems Important Numerical Methods in Module-I

The document discusses numerical methods for solving systems of linear equations and eigenvalue problems. For systems of linear equations, it discusses the Gauss-Seidel iteration method, LU decomposition method, and the Thomas algorithm for tridiagonal systems. For eigenvalue problems, it discusses the power method and Jacobi method. It provides examples of applying these numerical methods to solve systems of linear equations and determine eigenvalues and eigenvectors.

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0% found this document useful (0 votes)
49 views24 pages

Module-2 System of Linear Equations and Eigen Value Problems Important Numerical Methods in Module-I

The document discusses numerical methods for solving systems of linear equations and eigenvalue problems. For systems of linear equations, it discusses the Gauss-Seidel iteration method, LU decomposition method, and the Thomas algorithm for tridiagonal systems. For eigenvalue problems, it discusses the power method and Jacobi method. It provides examples of applying these numerical methods to solve systems of linear equations and determine eigenvalues and eigenvectors.

Uploaded by

Jawa freak
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Module-2

System of Linear Equations and Eigen Value Problems

Important Numerical Methods in Module-I:


(1) For System of Linear Equations:
(a) Gauss –Seidel iteration method,
(b) LU Decomposition Method
(c) Tri diagonal system of equations-Thomas algorithm
(2) For Eigen Value Problems:
(a) Power method
(b) Jacobi Method
Gauss Seidel Method

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Q.2.

Solution.

Convergence condition:

a11  a12  a13  27  6  1  7



a22  a21  a23   15  6  2  8

a33  a31  a32  54  1  1  2

Convergence condition satisfied.

Therefore, the Gauss-Seidel formula is given by

x ( n1) 
1
27
 85  6 y ( n )  z ( n ) 

y ( n1)   72  6 x ( n1)  2 z ( n )  ,
1
n  0,1,2,3,4...
15
z ( n1)  110  x ( n1)  y ( n1) 
1
54
First iteration: For n=0, taking, x(0)  0, y (0)  0, z (0)  0 as a initial iteration.

x (1) 
1
27
 85  6 y (0)  z (0)    85  6  0  0   3.1481
1
27
y (1)   72  6 x (1)  2 z (0)    72  6  3.1481  2  0   3.5408
1 1
15 15
z (1)  110  x (1)  y (1)   110  3.1481  3.5408   1.9132
1 1
54 54
Second iteration: x(1)  3.1481, y (1)  3.5408, z (1)  1.9132

x (2) 
1
27
 85  6 y (1)  z (1)   2.4322

y (2)   72  6 x (2)  2 z (1)   3.572


1
15
z (2)  110  x (2)  y (2)   1.9258
1
54
Third iteration: x(2)  2.4322, y (2)  3.572, z (2)  1.9258

x (3) 
1
27
 85  6 y (2)  z (2)   2.4257

y (3)   72  6 x (3)  2 z (2)   3.5729


1
15
z (3)  110  x (3)  y (3)   1.926
1
54
Forth iteration: x(3)  2.4257, y (3)  3.5729, z (3)  1.926

x (4) 
1
27
 85  6 y (3)  z (3)   2.4255

y (4)   72  6 x (4)  2 z (3)   3.573


1
15
z (4)  110  x (4)  y (4)   1.926
1
54
Exercise:
Crout's Method (LU Decomposition Method)

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LU decomposition method (Crout’s method):

1. Solve the following system of equations using LU decomposition method.

x  y  z  9 ; 2 x  3 y  4 z  13 ; 3x  4 y  5z  40 .
Solution: The given system of equations can be written as

AX  B -------------------- (1)

1 1 1  x 9
   
where A   2 3 4  , X   y  , B  13 
 3 4 5   z   40 
Let A  LU ---------------------------------------------------------------------- (2)

 l11 0 0 1 u12 u13 


where L  l21 l22 0  and U  0 1 u23 
l31 l32 l33  0 0 1 
Then LU  A gives

 l11 l11u12 l11u13  1 1 1 


l l21u13  l22u23    2 3 4 
 21 l21u12  l22
l31 l31u12  l32 l31u13  l32u23  l33   3 4 5 

Equating the elements of the matrix, we have

12
l11  1, l21  2, l31  3, l22  5, l32  1, l33  ,
5
2
and u12  1, u13  1, u23  . .
5

 
1 0 0 1 1 1 
   2 
Therefore L   2 5 0  and U  0 1 .
  5 
12  0
 3 1   0 1 
 5
Now substituting A  LU in (1) we get LU X B ----------------------- (3)

r 
Let U X  M B1   s  say.
B1 where M
 t 

Therefore, from (3) we have L M


B1  B .
 
1 0 0 r   9 
   s   13 
i,e.,  2 5 0     
 12   t   40 
3 1 
 5

which gives r  9, s  1, t  5 .
1 1 1 
9     x  9 
2     
M1  1  .
Therefore, B Now, B1   0 1
U X M y  1
 5    
5  0 0  z  5 
 1     

which implies that x  y  z  9, y  2 z  1, z  5 .


5
Hence the required solution of the given system is x  1, y  3, z  5 .

2. Solve the following system of equations using LU decomposition method.

(i) 2 x  6 y  8z  24 ; 5x  4 y  3z  2 ; 3x  y  2 z  16 .
(ii) x  y  2 ; 2x  3 y  5 .
(iii) x  5 y  z  21 ; 2 x  y  3z  20 ; 3x  y  4 z  26 .

Tri-diagonal System of equations-Thomas Algorithm:

The system of equations of the form


a11x1  a12 x2  d1
a21x1  a22 x2  a23 x3  d2 ---------------------- (1)
a32 x2  a33 x3  a34 x4  d3
a43 x3  a44 x4  d4
is called a Tri-diagonal system in four variables.

System of equations (1) can be written as

 a11 a12 0 0   x1   d1 
   x  d 
 a21 a22 a23 0   2   2
 0 a32 a33 a34   x3   d3 
     
 0 0 a43 a44   x4   d 4 

It can also be written as


Where, Solving (3), we get
the solution of (1).
Exercise:
Eigen Values and Eigen Vectors of Square Matrix
Eigen Value & Eigen Vector:

Trace of Matrix: Trace (A) = Sum of diagonal elements = Sum of all Eigen values of A

1
Note: If  is an Eigen value of A then, is Eigen value of A-1

1
If  is an Eigen value of A-1 then, is Eigen value of A

Power Method to find largest Eigen Value

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1. Determine the largest eigen value and the corresponding eigen vector of the matrix

1 2 3
 
A   0 4 2  and hence find the remaining eigen values of A .
0 0 7
 
0
 
Solution: Let X 10   0  be the initial eigen vector of A .
1
 

 1 2 3  0   3   0.43 
      
Then AX10   0 4 2  0    2   7  0.29  .
 0 0 7  1   7   1 
      

 0.43   1 2 3  0.43   4.01   0.57 


        
Let X21   0.29  . Then AX 21   0 4 2  0.29    0.84   7  0.12  .
 1   0 0 7  1   7   1 
        

 0.57   1 2 3  0.57   3.81  0.54 


        
Let X 32   0.12  . Then AX 32   0 4 2  0.12   1.52   7  0.22  .
 1   0 0 7  1   7   1 
        

 0.54   1 2 3  0.54   3.98   0.57 


        
Let X 43   0.22  . Then AX 34   0 4 2  0.22    1.12   7  0.16  .
 1   0 0 7  1   7   1 
        

 0.57   1 2 3  0.57   3.89   0.56 


        
Let X54   0.16  . Then AX 54   0 4 2  0.16    1.36   7  0.19  .
 1   0 0 7  1   7   1 
        

 0.56   1 2 3  0.56   3.94   0.56 


        
Let X65   0.19  . Then AX 65   0 4 2  0.19    1.24   7  0.18  .
 1   0 0 7  1   7   1 
        

 0.56 
 
Let X 67   0.18  . Since X 67 is very close to X65 , the largest eigen value is   7 and the
 1 
 
 0.56 
 
corresponding eigen vector is  0.18  .
 1 
 
For smallest Eigen value of A, we find largest Eigen value of A-1

 1 1 / 2 4 / 7  1
Then A1   0 1 / 4 1 / 14  , let X 1   0 
0 1 / 7  0
 0  

 1 1 / 2 4 / 7  1   1   1 
Now, A1 X 1   0 1 / 4 1 / 14      
 0    0   1 0   1 X 2 .
0 1 / 7      
 0  0   0   0 

1
Here, X 1  X 2   0  , then the largest Eigen value of A-1 is 1 =1.
0
 

Therefore, the smallest Eigen value of A is 1/ 1  1/ 1  1.

We know that ,

Trace(A) = Sum of diagonal elements of A = Sum of all Eigen values of A

1–4+7=7+1+  =-4

The Eigen values of A are 1, – 4, 7.

Exercise:
1

2 2

3 3

4 4

5 5

6 6

7 7 6
Jacobi's Method to find Eigen values and Eigen Vectors:

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 cos 0 sin  
S   0 1 0  ,
  sin  0 cos 

2aij 2a13 2 2 4  
Then tan         tan  
aii  a jj a11  a33 1  1 0 2 4

 1/ 2 0 1/ 2 
  
After putting   in S we get S   0 1 0  . Therefore,
4  
 1 / 2 0 1 / 2 

A1=S-1 AS =

 cos sin  0
S1    sin  cos 0  ,
 0 1 
 0

2aij 2a21 2 2 4  
Then tan         tan  
aii  a jj a22  a11 3  3 0 2 4

 1/ 2 1/ 2 0
 
S1   1 / 2 1 / 2 0 
 0 1 
 0
 
A2=S1-1 A1S1 =

Exercise:

2 2 
1. Find Find all eigen values and eigen vectors of the matrix A    using
 2 1
Jacob’s method.

 cos sin  
Note: For 2X2 matrix we write S as S  
  sin  cos 

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