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逐次超松弛(SOR)迭代法概述
一、方法背景
逐次超松弛迭代法是高斯-塞德尔迭代法的一种变种,是为了解决线性方程组的一种迭代方法。由David M. Young, Jr. 和Stanley P. Frankel于1950年提出,主要为了实现在计算机上求解线性方程组。逐次超松弛迭代法从高斯-塞德尔迭代出发,加入了
![equation?tex=%7B%5Comega%7D](https://i-blog.csdnimg.cn/blog_migrate/dffe2b847859c712367d69eb43c96ec3.png)
高斯-塞德尔迭代:
![equation?tex=x_%7Bi%7D%5E%7B%28k%2B1%29%7D%3Dx_%7Bi%7D%5E%7B%28k%29%7D%2B%5Cfrac%7B1%7D%7Ba_%7Bi+i%7D%7D%5Cleft%28b_%7Bi%7D-%5Csum_%7Bj%3D1%7D%5E%7Bi-1%7D+a_%7Bi+j%7D+x_%7Bj%7D%5E%7B%28k%2B1%29%7D-%5Csum_%7Bj%3Di%7D%5E%7Bn%7D+a_%7Bi+j%7D+x_%7Bj%7D%5E%7B%28k%29%7D%5Cright%29](https://i-blog.csdnimg.cn/blog_migrate/860b5180d96d32fc7fc46301b57354e5.png)
逐次超松弛迭代:
![equation?tex=x_%7Bi%7D%5E%7B%28k%2B1%29%7D%3Dx_%7Bi%7D%5E%7B%28k%29%7D%2B%5Cfrac%7B%5Comega%7D%7Ba_%7Bi+i%7D%7D%5Cleft%28b_%7Bi%7D-%5Csum_%7Bj%3D1%7D%5E%7Bi-1%7D+a_%7Bi+j%7D+x_%7Bj%7D%5E%7B%28k%2B1%29%7D-%5Csum_%7Bj%3Di%7D%5E%7Bn%7D+a_%7Bi+j%7D+x_%7Bj%7D%5E%7B%28k%29%7D%5Cright%29](https://i-blog.csdnimg.cn/blog_migrate/ef1adc92f8e1da32a6434f376d232ce3.png)
二、数学推导
1. 基础迭代法
对于
![equation?tex=Ax%3Db](https://i-blog.csdnimg.cn/blog_migrate/eb9ba40e6648620a6332b99547b63a0f.png)
假定A有如下分解
![equation?tex=A%3DM-N](https://i-blog.csdnimg.cn/blog_migrate/4fd0f60e61d4fcf91d6889a1806e299e.png)
有
![equation?tex=Mx%3DNx%2Bb](https://i-blog.csdnimg.cn/blog_migrate/10a8c4fb3be487d9fd03953f1494d355.png)
![equation?tex=x%3DBx%2Bg](https://i-blog.csdnimg.cn/blog_migrate/1d5e90413daaef3a5f92ead061278e96.png)
![equation?tex=B%3DM%5E%7B-1%7D+N](https://i-blog.csdnimg.cn/blog_migrate/2029e24752a4dd185ce8fa25a42a683c.png)
![equation?tex=g%3DM%5E%7B-1%7D+b](https://i-blog.csdnimg.cn/blog_migrate/b5429527ac276808417809ceea217091.png)
建立迭代公式:
![equation?tex=x%5E%7B%28k%2B1%29%7D%3DB+x%5E%7B%28k%29%7D%2Bg](https://i-blog.csdnimg.cn/blog_migrate/c0e7849fc07f5b31301d2f78322fa701.png)
若
![equation?tex=x%5E%7B%28k%29%7D](https://i-blog.csdnimg.cn/blog_migrate/103d0afd1bbaf5d8a4700745317f1dac.png)
![equation?tex=x%5E%7B%2A%7D](https://i-blog.csdnimg.cn/blog_migrate/9f3071120ecfbbe250b3db4fedfdd2ba.png)
![equation?tex=x%5E%7B%2A%7D%3DB+x%5E%7B%2A%7D%2Bg](https://i-blog.csdnimg.cn/blog_migrate/9f3071120ecfbbe250b3db4fedfdd2ba.png%3DB+x%5E%7B%2A%7D%2Bg)
![equation?tex=A+x%5E%7B%2A%7D%3Db](https://i-blog.csdnimg.cn/blog_migrate/e60de55a5dbc74086e4129cc1b146edd.png)
![equation?tex=x%5E%7B%2A%7D](https://i-blog.csdnimg.cn/blog_migrate/9f3071120ecfbbe250b3db4fedfdd2ba.png)
![equation?tex=Ax%3Db](https://i-blog.csdnimg.cn/blog_migrate/eb9ba40e6648620a6332b99547b63a0f.png)
令
![equation?tex=A%3DD-L-U](https://i-blog.csdnimg.cn/blog_migrate/efe3427953115f55237d08b084fb62da.png)
![equation?tex=D%3Ddiag%28%5Ba_%7B11%7D%2C+a_%7B22%7D%2C+%5Ccdots%2C+a_%7Bn+n%7D%5D%29](https://i-blog.csdnimg.cn/blog_migrate/ba360b96ae9b6a3e90a4c58fc0e9ae1b.png)