Numerical Analysis –MTH603 VU

Solution of Linear System of Equationsand Matrix Inversion

Jacobi’s Method
This is an iterative method, where initial approximate solution to a given system of
equations is assumed and is improved towards the exact solution in an iterative way.

In general, when the coefficient matrix of the system of equations is a sparse matrix
(many elements are zero), iterative methods have definite advantage over direct methods
in respect of economy of computer memory
Such sparse matrices arise in computing the numerical solution of partial differential
equations
Let us consider
a11 x1 + a12 x2 + " + a1n xn = b1 
a21 x1 + a22 x2 + " + a2 n xn = b2 

# # # # 
an1 x1 + an 2 x2 + " + ann xn = b1 
In this method, we assume that the coefficient matrix [A] is strictly diagonally dominant,
that is, in each row of [A] the modulus of the diagonal element exceeds the sum of the
off-diagonal elements.
We also assume that the diagonal element do not vanish. If any diagonal element
vanishes, the equations can always be rearranged to satisfy this condition.
Now the above system of equations can be written as
b a a 
x1 = 1 − 12 x2 − " − 1n xn 
a11 a11 a11

b2 a21 a2 n 
x2 = − x1 − " − xn 
a22 a22 a22 
# # # # 

bn an1 an ( n −1) 
xn = − x1 − " − xn −1 
ann ann ann 
We shall take this solution vector ( x1 , x2 ,..., xn )T as a first approximation to the exact
solution of system. For convenience, let us denote the first approximation vector by
( x1(1) , x2(1) ,..., xn(1) ) got after taking as an initial starting vector.

Substituting this first approximation in the right-hand side of system, we obtain the
second approximation to the given system in the form

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b1 a12 (1) a 
x1(2) = − x2 − " − 1n xn(1) 
a11 a11 a11

b2 a21 (1) a2 n (1) 
x2 =
(2)
− x1 − " − xn 
a22 a22 a22 
# # # # 

b a a 
xn(2) = n − n1 x1(1) − " − n ( n −1) xn(1)−1 
ann ann ann 
This second approximation is substituted into the right-hand side of Equations and obtain
the third approximation and so on.
This process is repeated and (r+1)th approximation is calculated
b a a 
x1( r +1) = 1 − 12 x2( r ) − " − 1n xn( r ) 
a11 a11 a11

b a a 
x2( r +1) = 2 − 21 x1( r ) − " − 2 n xn( r ) 
a22 a22 a22 
# # # # 

b a a − 
xn( r +1) = n − n1 x1( r ) − " − n ( n 1)
xn( r−)1 
ann ann ann 
Briefly, we can rewrite these Equations as
n a
b
xi( r +1) = i − ∑ x (jr ) ,
ij

aii j =1 aii
j ≠i

r = 1, 2,..., i = 1, 2,..., n
It is also known as method of simultaneous displacements,
since no element of xi( r +1) is used in this iteration until every element is computed.

A sufficient condition for convergence of the iterative solution to the exact solution is
n
aii > ∑ aij , i = 1, 2,..., n When this condition (diagonal dominance) is true, Jacobi’s
j =1
j ≠1

method converges

Example
Find the solution to the following system of equations using Jacobi’s iterative method for
the first five iterations:
83x + 11y − 4 z = 95
7 x + 52 y + 13z = 104
3x + 8 y + 29 z = 71
Solution

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Numerical Analysis –MTH603 VU

95 11 4 
x= − y+ z 
83 83 83

104 7 13 
y= − x − z
52 52 52 
71 3 8 
z= − x− y
29 29 29 
Taking the initial starting of solution vector as (0, 0, 0)T , from Eq. ,we have the first
approximation as

 x (1)   1.1446 
 (1)   
 y  =  2.0000 
 z (1)   2.4483 
   
Now, using Eq. ,the second approximation is computed from the equations

x (2) = 1.1446 − 0.1325 y (1) + 0.0482 z (1) 


y (2) = 2.0 − 0.1346 x (1) − 0.25 z (1) 
(1) 
z = 2.4483 − 0.1035 x − 0.2759 y 
(2) (1)

Making use of the last two equations we get the second approximation as
 x (2)   0.9976 
 (2)   
 y  =  1.2339 
 z (2)   1.7424 
   

Similar procedure yields the third, fourth and fifth approximations to the required
solution and they are tabulated as below;

Variables

Iteration number r x y z

1 1.1446 2.0000 2.4483

2 0.9976 1.2339 1.7424

3 1.0651 1.4301 2.0046

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4 1.0517 1.3555 1.9435

5 1.0587 1.3726 1.9655

Example
Solve the system by jacobi’s iterative method
8 x − 3 y + 2 z = 20
4 x + 11y − z = 33
6 x + 3 y + 12 z = 35
(Perform only four iterations)
Solution
Consider the given system as
8 x − 3 y + 2 z = 20
4 x + 11 y − z = 33
6 x + 3 y + 12 z = 35
the system is diagonally do min ant
1
x = [ 20 + 3 y − 2 z ]
8
1
y = [33 − 4 x + z ]
11
1
z = [35 − 6 x − 3 y ]
12
we start with an initial aproximation x0 = y0 = z0 = 0
substituting these
first iteration
1
x1 = [ 20 + 3(0) − 2(0) ] = 2.5
8
1
y1 = [33 − 4(0) + 0] = 3
11
1
z1 = [35 − 6(0) − 3(0) ] = 2.916667
12
Second iteration
1
x2 = [ 20 + 3(3) − 2(2.9166667) ] = 2.895833
8
1
y2 = [33 − 4(2.5) + 2.9166667 ] = 2.3560606
11
1
z2 = [35 − 6(2.5) − 3(3) ] = 0.9166666
12
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Numerical Analysis –MTH603 VU

third iteration
1
x3 = [ 20 + 3(2.3560606) − 2(0.9166666)] = 3.1543561
8
1
y3 = [33 − 4(2.8958333) + 0.9166666] = 2.030303
11
1
z3 = [35 − 6(2.8958333) − 3(2.3560606) ] = 0.8797348
12
fourth iteration
1
x4 = [ 20 + 3(2.030303) − 2(0.8797348)] = 3.0419299
8
1
y4 = [33 − 4(3.1543561) + 0.8797348] = 1.9329373
11
1
z4 = [35 − 6(3.1543561) − 3(2.030303) ] = 0.8319128
12

Example
Solve the system by jacobi’s iterative method
3x + 4 y + 15 z = 54.8
x + 12 y + 3 z = 39.66
10 x + y − 2 z = 7.74
(Perform only four iterations)
Solution

Consider the given system as

3x + 4 y + 15 z = 54.8
x + 12 y + 3 z = 39.66
10 x + y − 2 z = 7.74
the system is not diagonally do min ant we rearrange the system
10 x + y − 2 z = 7.74
x + 12 y + 3 z = 39.66
3x + 4 y + 15 z = 54.8
1
x = [ 7.74 − y + 2 z ]
10
1
y = [39.66 − x − 3 z ]
12
1
z = [54.8 − 3x − 4 y ]
15

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we start with an initial aproximation x0 = y0 = z0 = 0

substituting these
first iteration
1
x1 = [ 7.74 − (0) + 2(0)] = 0.774
10
1
y1 = [39.66 − (0) − 3(0) ] = 1.1383333
12
1
z1 = [54.8 − 3(0) − 4(0)] = 3.6533333
15
Second iteration
1
x2 = [7.74 − 1.1383333 + 2(3.6533333)] = 1.3908333
10
1
y2 = [39.66 − 0.774 − 3(3.6533333) ] = 2.3271667
12
1
z2 = [54.8 − 3(0.774) − 4(1.1383333) ] = 3.1949778
15

third iteration
1
x3 = [ 7.74 − 2.3271667 + 2(3.1949778)] = 1.1802789
10
1
y3 = [39.66 − 1.3908333 − 3(3.1949778) ] = 2.3903528
12
1
z3 = [54.8 − 3(1.3908333) − 4(2.3271667) ] = 2.7545889
15
fourth iteration

1
x4 = [7.74 − 2.5179962 + 2(2.7798501)] = 1.0781704
10
1
y4 = [39.66 − 1.1802789 − 3(2.7545889) ] = 2.51779962
12
1
z4 = [54.8 − 3(1.1802789) − 4(2.3903528) ] = 2.7798501
15

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