Iterative methods

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Revision as of 03:03, 19 September 2005

For solving a set of linear equations, we seek the solution to the problem:

After k iterations we obtain an approaximation to the solution as:

where is the residual after k iterations.
Defining:

as the difference between the exact and approaximate solution.
we obtain :

the purpose of iterations is to drive this residual to zero.

Stationary Iterative Methods

Iterative methods that can be expressed in the simple form:

When neither B nor c depend upon the iteration count (k), the iterative method is called stationary iterative method. Some of the stationary iterative methods are:

1. Jacobi method
2. Gauss-Seidel method
3. Successive Overrelaxation (SOR) method and
4. Symmetric Successive Overrelaxation (SSOR) method

Nonstationary Iterative Methods

When during the iterations B and c changes during the iterations, the method is called Nonstationary Iterative Method. Typically, constants B and c are computed by taking inner products of residuals or other vectors arising from the iterative method.

Some examples are:

1. Conjugate Gradient Method (CG)
2. MINRES and SYMMLQ
3. Generalized Minimal Residual (GMRES)
4. BiConjugate Gradient (BiCG)
5. Quasi-Minimal Residual (QMR)
6. Conjugate Gradient Squared Method (CGS)
7. BiConjugate Gradient Stabilized (Bi-CGSTAB)
8. Chebyshev Iteration