迭代法求解线性方程组Ax=b
设 A = ( a i j ) A=(a_{ij}) A=(aij),A=D-L-U,其中D是A的对角线部分,-L,-U分别为A的严格的下、上三角部分.
Jacobi迭代
x
k
=
M
j
x
k
−
1
+
b
j
x_k=M_jx_{k-1}+b_j
xk=Mjxk−1+bj
其中,
M
j
=
D
−
1
(
L
+
U
)
,
b
j
=
D
−
1
b
.
M_j=D^{-1}(L+U),b_j=D^{-1}b.
Mj=D−1(L+U),bj=D−1b.
Gauss-Seidei迭代
x
k
=
M
g
x
k
−
1
+
b
g
x_k=M_gx_{k-1}+b_g
xk=Mgxk−1+bg
其中,
M
g
=
(
D
−
L
)
−
1
U
,
b
g
=
(
D
−
L
)
−
1
b
.
M_g=(D-L)^{-1}U,b_g=(D-L)^{-1}b.
Mg=(D−L)−1U,bg=(D−L)−1b.
SOR迭代
x
k
=
M
s
x
k
−
1
+
b
s
x_k=M_sx_{k-1}+b_s
xk=Msxk−1+bs
其中,
M
s
=
(
D
−
ω
L
)
−
1
(
(
1
−
ω
)
D
+
ω
U
)
,
b
s
=
ω
(
D
−
ω
L
)
−
1
b
,
ω
>
1.
M_s=(D-\omega L)^{-1}((1-\omega)D+\omega U),b_s=\omega(D-\omega L)^{-1}b,\omega>1.
Ms=(D−ωL)−1((1−ω)D+ωU),bs=ω(D−ωL)−1b,ω>1.