Error estimation in numerical solution of equations and systems of equations

Abstract

In [7], [8], M. Urabe studies the numerical convergence and error estimation in the case of operatorial equation solution by means of iteration methods. Urabe’s results refer to operatorial equations in complete metric spaces, while as application the numerical convergence of Newton’s method in Banach spaces is studied. Using Urabe’s results, M. Fujii [1] studies the same problems for Steffensen’s method and the chord method applied to equations with real functions. In [6], Urabe’s method is applied to a large class of iteration methods with arbitrary convergence order. We propose further down to extend Urabe’s results to the case of the Gauss-Seidel method for systems of equations in metric spaces.

Authors

Ion Păvăloiu
(Tiberiu Popoviciu Institute of Numerical Analysis)

Keywords

systems of equations in metric spaces; error estimations; Gauss-Seidel method

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Cite this paper as:

I. Păvăloiu, Error estimation in numerical solution of equations and systems of equations, Rev. Anal. Numér. Théor. Approx., 21 (1992) no. 2, pp. 153-165.

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1222-9024

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References

[1] Fujii, M., Remarks to accelerated iterative processes for numerical solution of equations, J. Sci. Hiroshima Univ. Ser. A-I, 27 (1963), 97–118.

[2] Lanncaster, P., Error for the Newton-Raphson method, Numerische Mathematik, 9, 1, (1966), 55–68.

[3] Ostrowski, A., The round of stability of iterations, Z.A.M.M. 47, (1967), 77–81

[4] Pavaloiu, I., Estimation des erreurs dans la resolution numerique des systemes d’equations dans des espaces metriques. Seminar of Functional Analysis and Numerical Methods. Preprint Nr. 1, (1987), 121–129.

[5] Pavaloiu, I., Delimitations des erreurs dans la resolution numerique des systemes d’equations, Research Seminars. Seminar on Mathematical analysis. Preprint Nr. 7, (1988), 167–178.

[6] Pavaloiu, I., Introducere in teoria aproximarii solutiilor ecuatiilor. Ed. Dacia, Cluj- Napoca, (1976).

[7] Urabe, M., Convergence of numerical iteration in solution of equations. J. Sci. Hiroshima, Univ.Ser. A, 19 (1956), 479–489.

[8] Urabe, M., Error estimation in numerical solution of equations by iteration processes, J. Sci. Hiroshima Univ. Ser. A-I, 26, (1962), 77–91.

[9] Varga, R.S., Matrix Iterative Analysis, Englewood Cliffs H.J. Prentice Hall (1962).

Paper (preprint) in HTML form

Error estimation in numerical solution of equations and systems of equations

Error estimation in numerical solution
of equations and systems of equations

Ion Păvăloiu
(Cluj-Napoca)

In [7], [8] M. Urabe studies the numerical convergence and error estimation in the case of operatorial equation solution by means of iteration methods. Urabe’s results refer to operatorial equations in complete metric spaces, while as application the numerical convergence of Newton’s method in Banach spaces is studied. Using Urabe’s results, M. Fujii [1] studies the same problems for Steffensen’s method and the chord method applied to equations with real functions. In [6] Urabe’s method is applied to a large class of iteration methods with arbitrary convergence order.

We propose further down to extend Urabe’s results to the case of the Gauss-Seidel method for systems of equations in metric spaces.

1.  

For a unitary exposition of the problem, we shall firstly present the ideas on which Urabe’s main results are based.

Let (E,ρ) be a metric space and let FE a complete subset of E. Consider the equation:

(1) x=T(x)

where T:FE.

The following fixed point theorem is well known:

Theorem 1.1.

If the following conditions:

  • (i1).

    ρ(T(x1),T(x2))Kρ(x1,x2) for every x1,x2F, where 0<K<1;

  • (ii1).

    there exists at least one element x0F such that x1=T(x0)F;

  • (iii)1.

    the set S={xE|ρ(x,x1)K1Kρ(x1,x0)}F,

is fulfilled, then the following properties hold:

  • (j1).

    the sequence (xn)n0, generated by the successive approximations method:

    (2) xn+1=T(xn),n=0,1,,

    where x0 fulfils condition (ii1), is convergent, and if x¯=limnxn, then x¯ is the solution of equation (1);

  • (jj1).

    x¯ is the unique solution of equation (1) from the set S;

  • (jjj1).

    the following inequality holds:

    (3) ρ(x¯,xn)Kn1Kρ(x1,x0).

The numerical solutions of equations (1) by means of the successive approximations method oblige us to consider instead of T another mapping T:FE which approximates T. Equation (1) is replaced by an approximant equation of the form:

(4) x=T(x).

We shall suppose that for a given ε>0  the mappings T and T fulfil the condition:

(5) ρ(T(x),T(x))ε,for every xF.

Consider thus the iterative method:

(6) ξn+1=T(ξn),n=0,1,,ξ0=x0.

As to the sequence (ξn)n0, M. Urabe proved the following theorem:

Theorem 1.2.

If the mapping T verifies the hypotheses of Theorem 1.1, the mappings T and T fulfil condition (5), and the set

S={xE:ρ(x,ξ1)K1Kρ(ξ1,ξ0)+2δ}F,

where δ=11K, then the elements of the sequence (ξn)n0 generated by (6) are continued into the set S,ρ(xn,ξn)δ  for every n=0,1,, where (xn)n0 is the sequence generated by (2), and the solution x¯ of equation (1) belongs to the set

S={xE:ρ(x,ξ1)ρ(ξ0,ξ1)+δ}.

Condition (5) imposed to the mapping Tdoes not lead to the conclusion that the sequence (ξn)n0 is convergent; that is why if we suppose that the element ξn which approximates the solution x¯ of (1) is determined with a condition of the form:

(7) ρ(ξn+1,ξn)η

where η>0 is a given real number, then η cannot be chosen arbitrarily small. In [7] it is shown that, if η>2ε1K, then there exists a natural number n such that inequality (7) is fulfilled for every n>n.

Urabe shows that, if η>2ε1K and ξn is determined by condition (7), then the following inequality holds:

(8) ρ(x¯,ξn+1)ε+Kη1K.

Another situation which often occurs in the numerical solution of equations by successive approximations is that in which the sequence (ξn)n0 becomes periodic, that is, there exist two natural numbers m and n′′ such that:

(9) ξn=ξn+m,

for every n>n′′. In this case the error estimation is given by the following theorem:

Theorem 1.3.

If the mapping T fulfils the hypotheses of Theorem 1.1, and if the elements of the sequence (ξn)0 verify the equalities (9), then for every n>n′′ the following inequality holds:

(10) ρ(x¯,ξn)ε1K.

2.

In what follows, starting from the ideas exposed in the previous Section, we shall attempt to obtain delimitations for error in the case of a Gauss-Seidel-type method for the solution of a system of two equations in complete metric spaces.

Denote by (Xi,ρi),i=1,2 two complete metric spaces, and let X=X1×X2 the cartesian product of the spaces X1 and X2. Consider two mappings, F1:XX1 and F2:XX2, which appear in the following system of equations:

(11) x1 =F1(x1,x2),
x2 =F2(x1,x2).

In order to solve system (11), we shall adopt the following Gauss-Seidel-type method:

(12) x1(n+1) =F1(x1(n),x2(n)),
x2(n+1) =F2(x1(n+1),x2(n)),n=0,1,;x1(0),x2(0)X

In [4], [5], [6] we studied the convergence of the sequences (x1(n))n0 and (x2(n))n0 generated by (12) with the assumption that the mappings F1 and F2 fulfil Lipschitz-type conditions on the whole space X. But if

for the numerical solution of system (11) we consider, as previously, the approached mappings F1 and F2, and impose them to verify conditions of type (5) on the whole space X, then such conditions can restrict considerably their sphere of applicability, especially when the space X is unbounded. For this reason it becomes necessary to study the convergence of the sequences (x1(n))n0 and (x2(n))n0 with the hypothesis that the mappings F1, and F2 fulfil Lipschitz-type conditions on a set D=D1×D2, where D1X1 and D2X2 are bounded sets.

Consider two sequences of real numbers, (fn)n0 and (gn)n0, whose terms fulfil the conditions:

(13) fn αfn1+βgn1,
gn afn+bgn1,n=1,2,,

where α,β,a,b are nonnegative real numbers, while fn0 and gn0 for every n=0,1,

We associate to inequalities (13) the following system of equations with the unknowns k and h:

(14) α+βh =kh,
ak+b =kh.

In [6] we showed that if α,β,a,b verify the relations:

(15) α+b+aβ <2,
(1α)(1b)aβ >0
b>0,α >0,

then the system (14) has the real solutions (hi,ki), i=1,2 for which 0<hiki<1,i=1,2, and one of these solutions has both components positive. Let h1>0 and k1>0 be the solution with both components positive; then the elements of the sequences (fn)n0 and (gn)n0 verify the relations:

(16) fn ch1n1k1n1,
gn ch1nk1n1,n=1,2,,

where c=max{αf0+βg0,af1+bg0h1}.

If we write p1=h1k1, then one sees immediately that p1 is one of the roots of the equation

(17) p2(b+βa+α)p+bα=0.

Let d1>0  be a real number chosen such that the sets:

(18) S1 ={xX1:ρ1(x,x10)d1(1p1)};
S2 ={xX2:ρ2(x,x20)d1h1(1p1)},

verify the relations S1D1 and S2D2.

With the above specifications we can state the following theorem:

Theorem 2.1.

If the mappings F1 and F2 fulfil the conditions:

  • (i2).

    ρ1(F1(x1,y1),F1(x2,y2))αρ1(x1,x2)+βρ2(y1,y2);

    ρ2(F2(x1,y1),F2(x2,y2))aρ1(x1,x2)+bρ2(y1,y2),

    for every (x1,y1),(x2,y2)D;

  • (ii2).

    the numbers α,β,a,b fulfil conditions (15);

  • (iii2).

    the elements x1(1) and x2(1) of the sequences (x1(n))n0, (x2(n))n0 generated by (12) verify the conditions

    ρ1(x1(0),x1(1))d1,ρ2(x2(0),x2(1))d1h1,

    then the following properties hold:

  • (j2).

    the sequences (x1(n))n0 and (x2(n))n0 generated by (12) are convergent;

  • (jj2).

    if we write x¯1=limnx1(n) and x¯=limnx2(n), then (x¯1,x¯2)S=S1×S2, and (x¯1,x¯2) is the unique solution of the system (11) contained into the set S;

  • (jjj2).

    the following inequalities hold:

    (19) ρ1(x¯1,x1(n)) d1p1n1p1;
    ρ2(x¯2,x2(n)) d1h1p1n1p1.
Proof.

From (iii2) follows x1(1)S1 and x2(1)S2. With this, with (12), and with the hypothesis (i2), we have:

ρ1(x1(2),x1(1)) αρ1(x1(1),x1(0))+βρ2(x2(1),x2(0))αd1+βd1h1
=d1(α+βh1)=d1p1;
ρ2(x2(2),x2(1)) aρ1(x1(2),x1(1))+bρ2(x2(1),x2(0))Sad1p1+bd1h1
=ad1h1k1+bd1h1=d1h1(ak1+b)=d1p1h1.

Using the above inequalities and the hypothesis (iii2), we have:

ρ1(x1(2),x1(0)) ρ1(x1(2),x1(1))+ρ1(x1(1),x1(0))d1+d1p1d11p1;
ρ2(x2(2),x2(0)) ρ2(x2(2),x2(1))+ρ2(x2(1),x2(0))d1p1h1+d1h1d1h11p.

From these inequalities it follows that x1(2)S1 and x2(2)S2.

Suppose now that x1(i)S1,x2(i)S2 for every i=1,2,,k, and ρ1(x1(i),x1(i1))d1p1i1 ,ρ2(x2(i),x2(i1))d1h1p1i1 for 1=1,2,,k. Using these hypotheses, and (i2) together with (12), we deduce:

ρ1(x1(k+1),x1(k)) αρ1(x1(k),x1(k1))+βρ2(x2(k),x2(k1))
d1p1k1(α+βh1)=d1p1k.

Analogously, and taking also into account the above inequality we deduce:

ρ2(x2(k+1),x2(k))d1h1p1k.

From the above inequalities it easily results that x1(k+1)S1 and x2(k+1)S2.

The previously proved relations and the induction principle show that the following relations hold:

ρ1(x1(n+1),x1(n)) d1p1n,
ρ2(x2(n+1),x2(n)) d1h1p1n,
x1(n)S1,x2(n) S2,for every n.

By virtue of the last relations we deduce that for every n,s the following inequalities hold:

ρ1(x1(n+s),x1(n)) d1p1n1p1;
ρ2(x2(n+s),x2(n)) d1h1p1n1p1,

from which, taking into account the fact that 0<p1<1, it follows that the sequence (x1(n))n0 and (x2(n))n0 are fundamental.

Using this remark and the completeness of the spaces X1 and X2, it results that limnx1(n)=x¯1 and limnx2(n)=x¯2 do exist, and the following inequalities hold:

ρ1(x¯1,x1(n)) d1p1n1p1,
ρ2(x¯2,x2(n)) d1h1p1n1p1.

One deduces easily that x¯1 and x¯2 form the slution of the system (11) and x¯S1,x¯2S2.

The uniqueness of the solution (x¯1,x¯2) in  S=S1×S2 is verified by reductio ad absurdum, taking into account the fact that

0<βa(1α)(1b)<1.

Consider now two mappings, F1:DX1 and F2:DX2, where D=D1×D2. Suppose that the mappings F1,F2.F1,F2 verify the relations

(20) ρ1(F1(u,v),F1(u,v)) δ1,
ρ2(F2(u,v),F2(u,v)) δ2,

for every (u,v)D, where δ1>0,δ2>0 are given numbers.

In order to solve the system (11), consider now the approximate procedure:

(21) ξ1(n+1) =F1(ξ1(n),ξ2(n)),
ξ2(n+1) =F2(ξ1(n+1),ξ2(n)),n=0,1,

where ξ1(0)=x1(0),ξ2(0)=x2(0).

Write:

(22) θ1 =βδ2+(1b)δ1(1α)(1b)aβ,
θ2 =(1α)δ2+aδ1(1α)(1b)aβ,

and consider the sets:

(23) S1 ={xX1:ρ1(x,x1(0))d1+d11p1+θ1},
S2 ={xX2:ρ2(x,x2(0))d1h1+d1h11p+θ2}.

The following theorem holds:

Theorem 2.2.

If the hypotheses of Theorem 2.1 and the additional conditions:

  • (i3).

    the mappings F1,F2,F1,F2 fulfil relations (20);

  • (ii3).

    S1D1,S2D2

are verified, then for every real numbers ε1 and ε2 which verify the relations ε1>2θ1,ε2>2θ2 there exists a natural number n such that for every

n>n the inequalities ρ1(ξ1(n+1),ξ1(n))<ε1 and ρ2(ξ2(n+1),ξ2(n))<ε2 hold, and the additional properties hold, two:

  • (j3).

    ξ1(n)S1,ξ2(n)S2 for every n=0,1,;

  • (jj3).

    the following inequalities hold:

    (24) ρ1(x¯1,ξ1(n+1)) β(aε1+bε2)+αε1(1b)(1α)(1b)aβ+ε12,
    ρ2(x¯2,ξ2(n+1)) a(αε1+βε2)+bε2(1α)(1α)(1b)aβ+ε22

    for every n>n, where (x¯1,x¯2) is the solution of system (11).

Proof.

We show that the relations (j3) hold. Indeed, by (21) and (20) it results:

ρ1(x1(1),ξ1(1))=ρ1(F1(x1(0),x2(0)),F1(ξ1(0),ξ2(0)))δ1,

since we assumed that x1(0)=ξ1(0) and x2(0)=ξ2(0).

Taking into account the hypothesis (iii2) of Theorem 2.1, we shall have:

ρ1(ξ1(1),x1(0))ρ1(ξ1(1),x1(1))+ρ1(x1(1),x1(0))δ1+d1<d1+d11p1+θ1

since from (22) it follows δ1<θ1. From the last inequality it follows ξ1(1)S1.

Analogously we have:

ρ2(x2(1),ξ2(1)) ρ2(F2(x1(1),x2(0)),F2(ξ2(1),ξ2(0)))
δ2+aρ1(ξ1(1),x1(1))+bρ2(ξ2(0),x2(0))δ2+aδ1,

from which, taking into account (iii2), it follows:

ρ2(ξ2(1),x2(0))ρ2(ξ2(1),x2(1))+ρ2(x2(1),x2(0))δ2+aδ1+d1h1,

but one can easily verify that δ2+aδ1θ2, and hence:

ρ2(ξ2(1),x2(0))h1d1+h1d11p1+θ2,

therefore ξ2(1)S2.

Suppose now that ξ1(n1)S1 and ξ2(n1)S2 for an n2. Then we have:

ρ1(ξ1(n),x1(n)) =ρ1(F1(ξ1(n1),ξ2(n1)),F1(x1(n1),x2(n1)))
αρ1(x1(n1),ξ1(n1))+βρ2(x2(n1),ξ2(n1))+δ1,
ρ2(ξ2(n),x2(n)) =ρ2(F2(ξ1(n),ξ2(n1)),F2(x1(n),x2(n1)))
aρ1(x1(n),ξ1(n))+bρ2(x2(n1),ξ2(n1))+δ2.

Starting from the above relations, we deduce immediately:

(25) ρ1(ξ1(n),x1(n)) d1p1n1+θ1,
ρ2(ξ2(n),x2(n)) d1h1p1n1+θ2,

from which one easily obtains:

ρ1(ξ1(n),x1(0)) ρ1(ξ1(n),x1(n))+ρ1(x1(n),x1(0))d1+d11p1+θ1,
ρ2(ξ2(n),x2(0)) ρ2(ξ2(n),x2(n))+ρ2(x2(n),x2(0))d1h1+d1h11p1+θ2,

that is, ξ1(n)S1 and ξ2(n)S2.

From the above results it follows:

ρ1(ξ1(n+1),ξ1(n)) αρ1(ξ1(n),ξ1(n1))+βρ2(ξ2(n),ξ2(n1))+2δ1,
ρ2(ξ2(n+1),ξ2(n)) aρ1(ξ1(n+1),ξ1(n))+bρ2(ξ2(n),ξ2(n1))+2δ2,

from which one deduces immediately by induction the inequalities:

(26) ρ1(ξ1(n+1),ξ1(n)) d1p1n1+2θ1,
ρ2(ξ2(n+1),ξ2(n)) d1h1p1n1+2θ2.

From relations (26) it follows that, if ε1>2θ1 and ε2>2θ2, then there exists a natural number n such that for n>n the relations ρ1(ξ1(n+1),ξ1(n)) ε1 and ρ2(ξ2(n+1),ξ2(n))ε2 hold, namely the approximating iterative procedure (21) can be stopped when the distance between two successive iterations becomes smaller than a given number.

Suppose that ε1 and ε2 were chosen such that for n>n the inequalities ρ1(ξ1(n+1),ξ1(n))<ε1 and ρ2(ξ2(n+1),ξ2(n))<ε2 are verified. Then, for n>n, we have:

ρ1(x¯1,ξ1(n+1)) αρ1(x¯1,ξ1(n))+βρ2(x¯2,ξ2(n))+δ1,
ρ2(x¯2,ξ2(n+1)) aρ1(x¯1,ξ1(n+1))+bρ2(x¯2,ξ2(n))+δ2,

from which it follows:

(1α)ρ1(x¯1,ξ2(n+1)) αε1+βρ2(x¯2,ξ2(n))+δ1,
(1b)ρ2(x¯2,ξ2(n+1)) bε2+aρ1(x¯1,ξ1(n+1))+δ2,

namely:

ρ2(x¯2,ξ2(n+1))a(αε1+βε2)+b(1α)ε2(1α)(1b)aβ+ε22,

and using this inequality we have:

ρ1(x¯1,ξ1(n+1))β(aε1+bε2)+α(1b)ε1(1α)(1b)aβ+ε12.

3.

We present further down an application of Theorem 2.1 For this purpose, consider the linear system:

(27) x=Ax+b,

where bTn, An(), and xTn.

In order to solve system (27), we shall use a method exposed by R. Varga in [9].

Decompose the matrix A into four blocks of matrices:

M1s,s(),M2s,ns(),M3ns,s(),M4ns,ns(),

where 1s<n. The matrix A will then have the form:

A=(M1M2M3M4).

Write x=(uv)  and b=(bb′′), with uTs bTs,vTns,b′′Tns.

With these notations system (27)  will acquire the form:

(28) u =M1u+M2v+b,
v =M3u+M4v+b′′.

In order to solve the system (28), we apply the Gauss-Seidel method, that is:

(29) ui =M1ui1+M2vi1+b,
vi =M3ui+M4vi1+b′′,(u0,v0)s×ns,i=1,2,

If we put in Theorem 2.1 X1=s,X2=ns,α=M1,β=M2,a=M3,b=M4, where the above norms are of the same kind and are every time considered on the metrics corresponding spaces, then as a consequence of this theorem, we can state the following theorem:

Theorem 3.1.

If the inequalities:

(30) M1+M4+M2M3 <2,
(1M1)(1M4) >M3M2

hold, then the system (27) has only one solution x¯=(u¯,v¯)s×ns which is obtained as limit of the sequences (un)n0 and (vn)n0 generated by the iterative procedure (29).

Also from Theorem 2.1 one deduces that (u¯,v¯)S^1×S^2, where

S^1={us:uu0d^11p^1}and S^2={vns:vv0d^1h^11p^1},

d^1 is a positive number for which u1u0d^1 and v1v0d^1h^1,p^1=h^1k^1, while (h^1,k^1) is the solution with positive components of the system of equations:

(31) M1+M2h =hk,
M3k+M4 =hk.

Let now M1s,s(),M2s,ns(),M3ns,s() and M4ns,ns() be four matrices for which:

MiMiε,i=1,2,3,4,ε>0,

and let b, b′′ns for which we also have bb<ε  and b′′b′′<ε. Thus, if we consider instead of the procedure (29) the approximate procedure:

(32) ξ1(i) =M1ξ1(i1)+M2ξ2(i1)+b,
ξ2(i) =M3ξ1(i)+M4ξ2(i1)+b′′,i=1,2,,
ξ1(0) =u0,ξ2(0)=v0,

and put into (29) u0=θ¯1,v0=θ¯2, where θ¯1 is the null vector from s and θ¯2 is the null vector from ns, it results u1=b and v1=b′′+M3b and we may consider d1=max {b,b′′/h^1}.

If we write:

F1(u,v) =M1u+M2v+b,
F2(u,v) =M3u+M4v+b′′,
F1(u,v) =M1u+M2v+b,
F2(u,v) =M3u+M4v+b′′,

and take into account the above hypotheses, we shall have:

(33) Fi(u,v)Fi(u,v)ε(u+v+1),i=1,2

and if

1ε2+a+βbα(1α)(1b)aβ>0,

then, denoting

δ=(2p^1p^d^1(1+h1)+1)1ε2+a+βbα(1α)(1b)aβ,

it follows from (33) that:

Fi(u,v)Fi(u,v)δ,i=1,2,

for (u,v)S^1×S^2, S^1 and S^2 being the sets:

S^1 ={uRs:ud^12p^11p^1+θ^1}
S^2 ={vRns:vd^1h^12p^11p^1+θ^2}

where:

θ^1 =δ1+βb(1α)(1b)aβ,
θ^2 =1+aα(1α)(1b)aβ

Taking all this into account, if ε^>2 max{θ^1,θ^2}, then there exists n^ such that, for n>n^,ξi(n+1)ξ(n)<ε^,i=1,2, and ξ1(n)S^1,ξ2(n)S^2, where (ξ1(n))n0 and (ξ2(n))n0 are the sequences generated by means of the approximating procedure (32).

Using the conclusions of Theorem 2.2, the following error estimations hold:

u¯ξ1(n+1) ε^[aα+aβ+bbα(1α)(1b)aβ+12],
v¯ξ2(n+1) ε^[aβ+bβ+ααb(1α)(1b)aβ+12,]

where, as we already specified, α=M1,β=M2,a=M3,b=M4.


References


Received 1.XII.1991

Institutul de Calcul

C.P. 68 Oficiul Poştal 1

3400 Cluj-Napoca

Romania

1992

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