Directmethod Sys Eq

Numerical Methods

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Directmethod Sys Eq

Numerical Methods

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Chapter 3 Linear System of Algebraic Equations Consider a system of n linear algebraic equations in n unknowns Myre + yay + +++ + Ainity = by ayy + agyta 4 Agyty = ba yyy + gia ++ + dyn = by where aij, 7 = 1,2,....n, 7 = 1,2,...yn are the known coofficients, b;, ¢ = 1,2,....n are the known right hand side values and 2, i = 1,2,...,n are the unknowns to be determined In matrix notation, Ar =, where, ay ay By a by an an aay, ™ ba A= z= and b= an Ona Oy Zn by 30Numerical Methods * The matrix [Al}], obtained by appending the column 6 to the matrix A is called the augmented matrix. That is a ay = aie | by an ae im | ba (ay = |S“ “ dna ta 2+ an | On 1. The system of equations is consistent (has at least one solution), if rank(A) = rank[A|b] =r @ ifr =n, then the system has unique solution, ¢ ifr pR; or R; © Ri ~ pR; Note: These row operations change the form of A, but do not change the row-rank of A 3. Gauss Elimination Method: The method is based on the idea of reducing the given system of equations Ax = 6, to an upper triangular system of equations Us: — 2, using elementary row operations. This reduced system Ur = 2, is then solved by the back substitution method to obtain the solution vector Manoj Kumar 32Numerical Methods Consider the 3 x 3 system anti + ate + aes any) + agate + aaats = by gyi + agate + dats = by [Ale] Set imino a) First stage of elimination: We assume a1, £ 0. This element ay; in the 1 x 1 position is called the first pivot. Then we are performing the elementary row operations Reh =r, an RRR, a respectively. We get alin, + ozs + az, <0 ny + ons = WP alien + ons = 0? Second stage of elimination, We assume a‘) 4 0, This clement a in the 2 x 2 position is called the second pivot. Then we are performing the elementary row operations: we ROR SR ay We get ny + aay + oz, = 8 ain + afrs = OP on, = 6 Manoj Kumar 33Numerical Methods ‘The element af!) # 0 is called the third pivot. The solution vector x is now obtained by back substitution se ante, O33 WP ae) ” aw 2) gy, — alt (OU = ays = ayy x2) Ty ayy a In the elimination process, if any one of the pivot elements a}, a3), and af, vanishes or becomes very small compared to other elements in that row then we altempt Lo rearrange the remaining rows so as to obtain a non-vanishing pivot or to avoid the multiplication by a large number. This strategy is called pivoting, The pivoting is of the following two types. * Partial Pivoting: Choose j, the smallest integer for which 9 lal?| = mala], kin and interchange rows f and j * Complete Pivoting: Choose | and m_as the smallest integers for which, “) laf! | = mazlal)|, k SO Jaw f= ie A real matrix A is said to be a positive definite matrix, if x’Az > 0 for any vector x #0 and 2! = (x)". Manoj Kumar a4Numerical Methods Example: 3.1.1 Solve the system of equations 10x, ~ arp + 2x3 =4 21 + 10x, ~ 23 =3 2x, + 30, + 2025 = 7 using the Gauss elimination method. Solution: The system is diagonally dominant and no pivoting is necessary. The augmented matrix, io -1 2 | 4 1 143 2.3 2% | 7 we get om | op we It, The second stage elimination, @) a 2 Rye Ry- Ra = Ry- Ry a Tor we get w-1 2 | 4 0 Blt oo muse | Se Manoj Kumar 35Numerical Methods using back substitution, we get ary = 0.269 rrp = 0.289 ny = 0.375. Example: 3.1.2 Solve the system of equations Solve the system of equations 2 +2, +225 =6 Bary + Bara + Airs = 20 Quy 4 a 1 3x3 = 13 using the Gauss elimination method. ‘The augmented matrix, 11i|6 3.34 | 20 213/18 ‘The first stage elimination, Ree Ry nem = mB wwe get 11 iis oo 1|2 o-1ij. Manoj Kumar 36Numerical Methods Here the pivot in the second equation is zero and so we can not proceed as usual. We interchange the equations (or row) two and third before the second step elimination, We obtain the upper triangular matrix. which has the solutions ty=2, 0 Example: 3.1.3 Solve the system 2 + 10x, — 23 =3 Dory + Bary + 205 = 7 10x) ~ ay + 205 using the Gauss elimination method. Solution: ‘The augmented matrix, Here the pivot in the first equation is very small and so we can not proceed as usual Ro Rs, we get 214 23 07 1 WW 1/3 Manoj Kumar 37Numerical Methods ‘The first stage elimination, Rr Ry 0 32 196 | 62 0 101 -12 | 26 Here the pivot in the second equation is very small and so we can not proceed as usual Ry © Ry we get 1-1 2 | 4 0 101 -12 | 26 0 32 196 | 62 ‘The second stage of elimination, 2) 2 a 3.2 Rye Re a= Ra Ro Ry Ti = Bo any we get wo -1 2 | 4 0 101 -12 26 | 0 0 19.98020 | 5.37624 Back substitution gives the solution 5.37624 0 544 5 = Teopgg = 0.26008 1 2 = (26 — 1.23) = 0.289 Tp (28 — 1.25) = 0.28940 ay = A (44-25 — 204) = 0.97512 1 4, LU Decomposition Method: In this method, the coefficient matrix A of the system of equations is decomposed or factorized into the product of a lower Manoj Kumar 38Numerical Methods triangular matrix Z and an upper triangular matrix U. We write as where hy 0 0 0 In ln 0 0 L= ly be bss 0 ba tna tas ban 0 ua urs, Uap U=10 0 us Usp o 0 0 thon Choose either uj; = 1 or y= 1, i= 1,2,....n. Using the matrix multiplication rule to multiply the matrices Zand U and comparing the elements of the resulting, matrix with those of A we de ‘ermined the matrices J and U. Then the system of equations becomes LUr=b te as the following two systems of equations Ur=2 Lz=b ‘The unknowns z:22,...,2, are determined from the system Lz = 6 by forward substitution and the unknowns 2,2, 2%, from the system Ur = 2 are obtained by back substitution. Manoj Kumar 39Numerical Methods Example: 3.1.4 Consider the system of equations ay bata = day + 322 ~ 25 3x, + 5x, +325 =4 Use the decomposition method to salve the system. We write Tota ts 43 -1]=]ln In 0} JO 1 wm oo 1 fa = Llay = 4b = 38, 2 = Ltus = 1 lap = =I la = 2 as = Bylss = 10. Thus we have 10 0 laid L=|4 -1 0 |U=|o15 3.2 -10 ool Using the forward substitution, we have 1 Li=boz=| 2 1/2 Using the back substitution, we have 1 Ur=2>2= | 1/2 1/2 Manoj Kumar 40Numerical Methods Example: 3.1.5 by the method of LU decomposition. Solution: We obtain, 1 00 23 1 L=|05 1 0f/U=|o0 05 25 15-7 1 o 0 WB Then the equation Lz = b gives the solution Finally, the matrix equation Ux = z gives the required solution Load z= |161 0.278 3.2 ill and well-conditioned systems Let « is the exact solution of the system and @ is the corresponding approximation solution. Then, satisfy the foll inequality, [ust , wal Tel TAI le lel] 16A]) where the quantity K(A) = ||A™| ||Al| is called the condition number of the matrix A and is denoted by cond(A) If K(A) is small (near unity) then the small changes in A or 6 produce only small Manoj Kumar ALSS Nrmerical Methods changes in x, and the system of equations Ax = b is called well-conditioned. If AK(A) is large then small changes in A or 6 will produce large changes in x, and b is called ill-conditioned. the system of equations Ar Let A= [aij] and si [ah tak te + al)? If we define det A S820 80 then the system is ill-conditioned if k is very small compared to unity. Otherwise, it is well-conditioned Example: 3.2.1 The system Qe +y=2 e+ 1.0ly = 2.01 has the solution 05, y=1 But the system Qnty =2 201r + y = 2.05 has the solution Also, All, = 3.165, ||A~*|] = 158.273. Therefore, condition number cond(A) = ‘A }||||Al| = 500.874. Hence the system is ill-conditioned. Also, det(A) = 0.02 si = V5, 9) = 2.24 Manoj Kumar 2Numerical Methods So, 0.02 b= = 4.408 x 10-8 VB x 2.24 Hence the system is ill-conditioned. Example: 3.2.2 Find the condition number of the system SE) Solution: 51 = VEE S 18 = 2.766, sy = 8.157. 0.03 k= = 0.001329, Hence the system is ill-conditioned, 3.3 Iterative Methods We start with an initial approximation to the solution vector x = zp, to solve the system of equations Ax = , and obtain a sequence of approximate vectors 9,71; -4Tky--, Which in the limit as k + oo, converges to the exact solution veetor x = Ab, A general linear iterative method for the solution of the system of equations Ar = b, can be written in matrix form as 2) = Hal + 6k =0,1,2, where 2") and 2) are the approximations for x at the (k + 1)!* and k'* itera tions respectively. HT is called the iteration matrix, which depends on A and c is, a column vector, which depends on A and 6 Manoj Kumar 43