一、Gauss-Seidel迭代法
n
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3
n=3
n=3时
A
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a
11
a
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a
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a
21
a
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a
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a
31
a
32
a
33
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,
b
=
(
b
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b
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b
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,
A=\begin{pmatrix} a_{11} & a_{12} &a_{13}\\ a_{21} & a_{22} &a_{23}\\ a_{31} & a_{32} &a_{33}\\ \end{pmatrix} ,\quad b=\begin{pmatrix} b_1\\b_2\\ b_3 \end{pmatrix},
A=
a11a21a31a12a22a32a13a23a33
,b=
b1b2b3
,
先看一下Jacobi公式的特点
Jacobi公式为
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\begin{gathered} x_1^{(k+1)} =\frac{b_{1}-a_{12}x_{2}^{(k)}-a_{13}x_{3}^{(k)}}{a_{11}} \\ x_2^{(k+1)} =\frac{b_{2}-a_{21}x_{1}^{(k)}-a_{23}x_{3}^{(k)}}{a_{22}} \\ x_3^{(k+1)} =\frac{b_{3}-a_{31}x_{1}^{(k)}-a_{32}x_{2}^{(k)}}{a_{33}} \end{gathered}
x1(k+1)=a11b1−a12x2(k)−a13x3(k)x2(k+1)=a22b2−a21x1(k)−a23x3(k)x3(k+1)=a33b3−a31x1(k)−a32x2(k)
可以看出Jacobi方法每次迭代使用的是上一步的结果,每行全部独立计算完后才进入下一轮迭代。
而实际上计算 x 2 x_2 x2时, 本次迭代产生的 x 1 x_1 x1已经更新, 使用 x 3 x_3 x3时, x 1 , x 2 x_1,x_2 x1,x2已经更新。由此想法(尽可能使用最新产生的结果),得到Gauss-Seidel方法
Gauss-Seidel公式为
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\begin{aligned} x_1^{(k+1)} &=\frac{b_{1}-a_{12}x_{2}^{(k)}-a_{13}x_{3}^{(k)}}{a_{11}} \\ x_2^{(k+1)} &=\frac{b_{2}-a_{21}x_{1}^{(k+1)}-a_{23}x_{3}^{(k)}}{a_{22}} \\ x_3^{(k+1)} &=\frac{b_{3}-a_{31}x_{1}^{(k+1)}-a_{32}x_{2}^{(k+1)}}{a_{33}} \end{aligned}
x1(k+1)x2(k+1)x3(k+1)=a11b1−a12x2(k)−a13x3(k)=a22b2−a21x1(k+1)−a23x3(k)=a33b3−a31x1(k+1)−a32x2(k+1)
或等价的,将
A
A
A 分解为
A
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D
−
L
−
U
A=D-L-U
A=D−L−U,其中
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a
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(
a
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a
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a
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D=diag(a_{11},a_{22},a_{33}),
D=diag(a11,a22,a33),
L
=
−
[
0
0
0
a
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0
0
a
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a
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0
]
,
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−
[
0
a
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]
.
L=-\begin{bmatrix} 0 & 0 &0\\ a_{21} & 0&0\\ a_{31} & a_{32} &0\\ \end{bmatrix},\quad U=-\begin{bmatrix} 0 & a_{12} &a_{13}\\ 0 & 0&a_{23}\\ 0 & 0 &0\\ \end{bmatrix}.
L=−
0a21a3100a32000
,U=−
000a1200a13a230
.
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\begin{aligned} (D-L-U)x &= b\\ Dx &= b+(L+U)x\\ Dx^{(k+1)}&=b+Lx^{(k+1)}+Ux^{(k)}\\ (D-L)x^{(k+1)}&=b+Ux^{(k)}\\ x^{(k+1)}&=(D-L)^{-1}(b+Ux^{(k)}) \end{aligned}
(D−L−U)xDxDx(k+1)(D−L)x(k+1)x(k+1)=b=b+(L+U)x=b+Lx(k+1)+Ux(k)=b+Ux(k)=(D−L)−1(b+Ux(k))
其中
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x^{(k+1)}=D^{-1}(b+Lx^{(k+1)}+Ux^{(k)})
x(k+1)=D−1(b+Lx(k+1)+Ux(k))
写成矩阵的形式
[
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\begin{bmatrix} x_1^{(k+1)}\\x_2^{(k+1)}\\ x_3^{(k+1)} \end{bmatrix} = \begin{bmatrix} \frac{1}{a_{11}} & &\\ & \frac{1}{a_{22}} &\\ & &\frac{1}{a_{33}}\\ \end{bmatrix}\left( \begin{bmatrix} b_1\\b_2\\ b_3 \end{bmatrix}-\begin{bmatrix} & &\\ a_{21} & &\\ a_{31} & a_{32} &\ \\ \end{bmatrix}\begin{bmatrix} x_1^{(k+1)}\\x_2^{(k+1)}\\ x_3^{(k+1)} \end{bmatrix} -\begin{bmatrix} \ & a_{12} &a_{13}\\ & &a_{23}\\ & &\\ \end{bmatrix}\begin{bmatrix} x_1^{(k)}\\x_2^{(k)}\\x_3^{(k)}\end{bmatrix}\right)
x1(k+1)x2(k+1)x3(k+1)
=
a111a221a331
b1b2b3
−
a21a31a32
x1(k+1)x2(k+1)x3(k+1)
−
a12a13a23
x1(k)x2(k)x3(k)
下面是其一般形式下的算法
二、算法
♡ \heartsuit ♡ Gauss-Seidel迭代法
主要思路
输入 :
A
,
b
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x
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0
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A,b,x^{(0)}
A,b,x(0)
输出 :
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initial vector
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\begin{aligned} x^{(0)} &=\text{ initial vector } \\ x^{(k+1)}&=(D-L)^{-1}(b+Ux^{(k)}) \end{aligned}
x(0)x(k+1)= initial vector =(D−L)−1(b+Ux(k))
添加一些限制
- 容许误差 e_tol,
- 最大迭代步 N N N.
当 残差 <e_tol 或 迭代步数 ≥ N \geq N ≥N 时,都会停止迭代,输出结果
实现步骤
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步骤 1 1 1: k = 0 k=0 k=0, x = x ( 0 ) x=x^{(0)} x=x(0);
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步骤 2 2 2: 计算残差 r = ∥ b − A x ∥ r=\|b-Ax\| r=∥b−Ax∥,
- 如果残差 r r r >e_tol 且 k < N k<N k<N,转步骤 3 3 3;
- 否则, 转步骤 5 5 5;
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步骤 3 3 3: 更新解向量 x = ( D − L ) − 1 ( b + U x ( 0 ) ) x=(D-L)^{-1}(b+Ux^{(0)}) x=(D−L)−1(b+Ux(0))
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步骤 4 4 4: x 0 = x x0=x x0=x, k = k + 1 k=k+1 k=k+1,转步骤 2 2 2;
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步骤 5 5 5: 输出 x x x.
三、北太天元源程序
Gauss-Seidel
function [x,k,r] = myGS(A,b,x0,e_tol,N)
% Gauss-Seidel迭代法解线性方程组
% Input: A, b(列向量), x0(初始值)
% e_tol: error tolerant
% N: 限制迭代次数小于 N 次
% Output: x , k(迭代次数),r:残差
% Version: 1.0
% last modified: 01/29/2024
n = length(b); k = 0;
x=zeros(n,N); % 记录每一次迭代的结果,方便后续作误差分析
x(:,1)=x0;
L = -tril(A,-1); U = -triu(A,1); D = diag(diag(A));
r = norm(b - A*x,2);
while r > e_tol && k < N
x(:,k+2) = inv(D-L)*(b+U*x(:,k+1)); % 不同之处
r = norm(b - A*x(:,k+2),2); % 残差
k = k+1;
end
x = x(:,2:k+1); % x取迭代时的结果
if k>N
fprintf('迭代超出最大迭代次数');
else
fprintf('迭代次数=%i\n',k);
end
end
保存为 myGS.m
文件
四、数值算例
(此例子与 Jaboci迭代法 文章中的例子相同,可以对比着来看)
A
x
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b
Ax=b
Ax=b,求
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8
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6
25
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11
15
)
A = \begin{pmatrix} 10 & -1 & 2 & 0 \\ -1 & 11 & -1 & 3 \\ 2 & -1 & 10 & -1 \\ 0 & 3 & -1 & 8 \\ \end{pmatrix}\quad b = \begin{pmatrix} 6 \\ 25 \\ -11 \\ 15 \\ \end{pmatrix}
A=
10−120−111−132−110−103−18
b=
625−1115
用Gauss列主元消去法,得
x =
1.000000000000000
2.000000000000000
-1.000000000000000
1.000000000000000
下面我们用Gauss-Seidel 迭代法进行求解
%% Gauss-Seidel test
% time : 4/24/2024
%% example 1
clc;clear all,format long;
N = 100; e_tol = 1e-8;
A=[10 -1 2 0; -1 11 -1 3; 2 -1 10 -1; 0 3 -1 8];
b=[6; 25; -11; 15];
x0=[0; 0; 0; 0];
[x11,k1] = myGS(A,b,x0,e_tol,N)
[x12,k2] = myJacobi(A,b,x0,e_tol,N)
% 作图查看误差变化
x_exact=[1;2;-1;1]; %真解
n = length(b);
error=zeros(n,k1);% 每个分量的误差
error = abs(x_exact - x11)
res =zeros(1,k1); % 残差
res1 = res;
res2 = res;
for i=1:1:k1
res1(i) = norm(b-A*x11(:,i),2);
end
for i=1:1:k2
res2(i) = norm(b-A*x12(:,i),2);
end
% 数值解
figure(1);
plot(1:k1,x11(1,:),'-*r',1:k1,x11(2,:),'-og', 1:k1,x11(3,:),'-+b',1:k1,x11(4,:),'-dk');
legend('x_1','x_2','x_3','x_4');
title('G-S下每个数值解的变化')
% 残差变化
figure(2);
plot(1:k1,res1,'-*r');
hold on
plot(1:k2,res2,'-*b');
legend('G-S','Jacobi');
title('残差变化')
% 误差
figure(3);
plot(1:k1,error(1,:),'-*r',1:k1,error(2,:),'-og', 1:k1,error(3,:),'-+b',1:k1,error(4,:),'-dk');
legend('x_1','x_2','x_3','x_4');
title('G-S下每个数值解的误差变化')
运行后得到
和Jacobi相比,其 达到相同精度 所需要得迭代步数更少,如下图
Gauss-Seidel 需进行 10次迭代
而 Jacobi 需进行 26 次迭代