Componentwise error analysis for stationary iterative methods

Nicholas J. Higham, Philip A. Knight

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Abstract

How small can a stationary iterative method for solving a linear system Ax = b make the error and the residual in the presence of rounding errors? We give a componentwise error analysis that provides an answer to this question and we examine the implications for numerical stability. The Jacobi, Gauss-Seidel and successive over-relaxation methods are all found to be forward stable in a componentwise sense and backward stable in a normwise sense, provided certain conditions are satisfied that involve the matrix, its splitting, and the computed iterates. We show that the stronger property of componentwise backward stability can be achieved using one step of iterative refinement in fixed precision, under suitable assumptions.
Original languageEnglish
Title of host publicationLinear Algebra, Markov Chains, and Queueing Models
EditorsCarl D. Meyer, Robert J. Plemmons
Place of PublicationCham, Swizerland
PublisherSpringer
Pages29-46
Number of pages18
ISBN (Print)9781461383536, 9781461383512
DOIs
Publication statusPublished - 1 Jan 1993

Keywords

  • stationary iteration
  • Jacobi method
  • Gauss-Seidel method
  • successive over-relaxation
  • error analysis
  • numerical stability

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