Jacobi Method

The Jacobi method is a method of solving a matrix equation on a matrix that has no zeros
along its main diagonal (Bronshtein and Semendyayev 1997, p. 892). Each diagonal element is
solved for, and an approximate value plugged in. The process is then iterated until it
converges. This algorithm is a stripped-down version of the Jacobi transformation method of
matrix diagonalization.

The Jacobi method is easily derived by examining each of the equations in the linear system
of equations in isolation. If, in the th equation

(1)

solve for the value of while assuming the other entries of remain fixed. This gives

(2)

which is the Jacobi method.

In this method, the order in which the equations are examined is irrelevant, since the Jacobi
method treats them independently. The definition of the Jacobi method can be expressed with
matrices as

(3)
where the matrices , , and represent thediagonal, strictly lower triangular, and strictly
upper triangular parts of , respectively.

SEE ALSO: Gauss-Seidel Method, Nonstationary Iterative Method, Stationary Iterative Method,
Successive Overrelaxation Method, Symmetric Successive Overrelaxation Method.
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Portions of this entry contributed by Noel Black and Shirley Moore, adapted from Barrett et al.
(1994) (author's link)

REFERENCES:

Acton, F. S. Numerical Methods That Work, 2nd printing. Washington, DC: Math. Assoc. Amer., pp. 161-163, 1990.

Barrett, R.; Berry, M.; Chan, T. F.; Demmel, J.; Donato, J.; Dongarra, J.; Eijkhout, V.; Pozo, R.; Romine, C.; and
Van der Vorst, H. Templates for the Solution of Linear Systems: Building Blocks for Iterative Methods, 2nd ed.
Philadelphia, PA: SIAM, 1994.
http://www.netlib.org/linalg/html_templates/Templates.html.

Bronshtein, I. N. and Semendyayev, K. A. Handbook of Mathematics, 3rd ed. New York: Springer-Verlag, p. 892,
1997.
Hageman, L. and Young, D. Applied Iterative Methods. New York: Academic Press, 1981.

Press, W. H.; Flannery, B. P.; Teukolsky, S. A.; and Vetterling, W. T. Numerical Recipes in FORTRAN: The Art of
Scientific Computing, 2nd ed. Cambridge, England: Cambridge University Press, pp. 864-866, 1992.

Varga, R. Matrix Iterative Analysis. Englewood Cliffs, NJ: Prentice-Hall, 1962.

Young, D. Iterative Solutions of Large Linear Systems. New York: Academic Press, 1971.

LAST MODIFIED: December 8, 2002

CITE THIS AS:

Black, Noel; Moore, Shirley; and Weisstein, Eric W. "Jacobi Method." From MathWorld--A Wolfram Web Resource.
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