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Linear System

This document discusses various matrix solution methods in MATLAB, including LU decomposition, condition number calculation, and iterative methods like Jacobi, Gauss-Seidel, SOR, and conjugate gradient. Examples are provided to demonstrate using these methods to solve a sample 4x4 system. The Jacobi method required 60 iterations to converge while Gauss-Seidel required 10 and SOR required 12; conjugate gradient converged fastest in 4 iterations.

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76 views

Linear System

This document discusses various matrix solution methods in MATLAB, including LU decomposition, condition number calculation, and iterative methods like Jacobi, Gauss-Seidel, SOR, and conjugate gradient. Examples are provided to demonstrate using these methods to solve a sample 4x4 system. The Jacobi method required 60 iterations to converge while Gauss-Seidel required 10 and SOR required 12; conjugate gradient converged fastest in 4 iterations.

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ciprian_nistor
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© Attribution Non-Commercial (BY-NC)
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58:110 Computer-Aided Engineering

Spring 2005

MATLAB EXAMPLES
Matrix Solution Methods

Department of Mechanical and industrial engineering January 2005

Some useful functions


det (A) lu(A) cond(A) inv(A) rank(A) diag, trace tril,triu cgs, pcg Determinant LU decomposition Matrix condition number Matrix inverse Matrix rank Vector and sum of the diagonal elements Lower and upper triangular part of matrix (Preconditioned) conjugate gradients iterative linear equation solver

LU decomposition
Here is an example to use LU decomposition for 4X4 matrix A:
>> A=[7 3 -1 2;3 8 1 -4; -1 1 4 -1; 2 -4 -1 6] A= 7 3 -1 2 3 8 1 -4 -1 1 4 -1 2 -4 -1 6 >> [l u p]=lu(A) l= 1.0000 0 0 0 0.4286 1.0000 0 0 -0.1429 0.2128 1.0000 0 0.2857 -0.7234 0.0898 1.0000 u= 7.0000 3.0000 -1.0000 2.0000 0 6.7143 1.4286 -4.8571 0 0 3.5532 0.3191 0 0 0 1.8862 p= 1 0 0 0 0 1 0 0 0 0 1 0 0 0 0 1

Note: p is a permutation matrix corresponding to the pivoting strategy used. If the matrix is not diagonally dominant, p will not be an identity matrix.

Condition number
In MATLAB, Condition number is defined by:

( A ) = A A 1
To calculate condition number of matrix A by MATLAB built-in function:
>> cond(A) ans = 13.7473 Or by the definition, the product of 2-norm of A and inverse A: >> norm(A,2)*norm(inv(A),2) ans = 13.7473

Iterative methods Jocobi method


The following M-file shows how to use Jocobi method in MATLAB: (jocobi_example.m) if j==i
% Iterative Solutions of linear euations:(1) Jocobi Method % Linear system: A x = b % Coefficient matrix A, right-hand side vector b A=[7 3 -1 2; 3 8 1 -4; -1 1 4 -1; 2 -4 -1 6]; b= [-1;0;-3;1]; % Set initial value of x to zero column vector x0=zeros(1,4); % Set Maximum iteration number k_max k_max=1000; % Set the convergence control parameter erp erp=0.0001; % Show the q matrix q=diag(diag(A)) % loop for iterations for k=1:k_max for i=1:4 s=0.0; for j=1:4 continue else s=s+A(i,j)*x0(j); end end x1(i)=(b(i)-s)/A(i,i); end if norm(x1-x0)<erp break else x0=x1; end end % show the final solution x=x1 % show the total iteration number n_iteration=k

Iterative methods- Jocobi method


Running M-file in command window:
>> jocobi_r_ex q= 7 0 0 0 8 0 0 0 4 0 0 0

0 0 0 6

x= -0.9996 0.9996 -0.9999 0.9996 n_iteration = 60

Iterative methods - Gauss-Seidel method


In the M-file for Gauss-seidel method, the only difference is the q matrix, which replaced by: q=tril(A), the codes in the loop changed as the following:
for i=1:4 s1=0.0; s2=0.0; if (i==1) continue else for j=1:i-1 s1=s1+A(i,j)*x1(j); end end for j=i+1:4 s2=s2+A(i,j)*x0(j); end x1(i)=(b(i)-s1-s2)/A(i,i); end

Running M-file in command window


>> gauss_example q= 7 0 0 0 3 8 0 0 -1 1 4 0 2 -4 -1 6 x= -0.9996 0.9997 -0.9999 0.9997 n_iteration = 10

Iterative methods - SOR method


Again, In the M-file for SOR method, the only difference is the q matrix, which replaced by: q1=tril(A)-diag(diag(A)); q2=diag(diag(A))/1.4; q=q1+q2; Note: the relaxation factor set to 1.4 for this case. for i=1:4 s1=0.0; s2=0.0; if (i==1) continue else for j=1:i-1 s1=s1+A(i,j)*x1(j); end end for j=i+1:4 s2=s2+A(i,j)*x0(j); end x1(i)=r*(b(i)-s1-s2)/A(i,i)+(1.0-r)*x0(i); end Run this M-file: >> SOR_example q= 5.0000 0 0 0 3.0000 5.7143 0 0 -1.0000 1.0000 2.8571 0 2.0000 -4.0000 -1.0000 4.2857 r= 1.4000 x= -0.9996 0.9997 -0.9999 0.9997 n_iteration = 12

Iterative methods Conjugate gradient method


Use cgs, pcg to solve above linear equations, the tolerance is 1.0E-6 (default)
>> x=cgs(A,b,0.00001) cgs converged at iteration 4 to a solution with relative residual 1.2e-015 x= -1.0000 1.0000 -1.0000 1.0000 >> x=pcg(A,b,0.00001) pcg converged at iteration 4 to a solution with relative residual 3.1e-016 x= -1.0000 1.0000 -1.0000 1.0000

Iterative methods - Summary


Method Jocobi method Gauss Seidel method SOR method Conjugate Gradient method Solution ( -0.9996, 0.9996, -0.9999, 0.9996) (-0.9996, 0.9997, -0.9999, 0.9997) Total Iteration number 60 10

(-1.0000, 0.9999, -1.0000, 1.0000)

12

(-1.0000, 1.0000, -1.0000, 1.0000)

Note: the exact solution is (-1,1,-1,1)

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