Numerical Methods Contents - SAM

Definition 3.1.3 (Local and global convergence).
An iterative method converges locally to x ∗ ∈ R n , if there is a neighborhood U ⊂ D of x ∗ ,
such that
x (0) , ...,x (m−1) ∈ U ⇒ x (k) well defined ∧ lim
k→∞ x(k) = x ∗
for the sequences (x (k) ) k∈N0 of iterates.
If U = D, the iterative method is globally convergent.
Definition 3.1.4 (Linear convergence).
A sequence x (k) , k = 0, 1, 2, ..., in R n converges linearly to x ∗ ∈ R n , if
∥
∃L < 1: ∥x (k+1) − x ∗∥ ∥
∥ ∥∥x ≤ L (k) − x ∗∥ ∥ ∀k ∈ N0 .
Terminology:
least upper bound for L gives the rate of convergence
Remark 3.1.2 (Impact of choice of norm).
D
Fact of convergence of iteration is independent of choice of norm
Fact of linear convergence depends on choice of norm
Rate of linear convergence depends on choice of norm
local convergence ✄
(Only initial guesses “sufficiently close” to x ∗ guarantee
convergence.)
x ∗
U
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Recall: equivalence of all norms on finite dimensional vector space K n :
Definition 3.1.5 (Equivalence of norms).
∃C,C > 0: C ‖v‖ 1 ≤ ‖v‖ 2 ≤ C ‖v‖ 2
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∀v ∈ V .
Two norms ‖·‖ 1 and ‖·‖ 2 on a vector space V are equivalent if
Fig. 29
Goal: Find iterative methods that converge (locally) to a solution of F(x) = 0.
✬
✩
Two general questions: How to measure the speed of convergence?
When to terminate the iteration?
Theorem 3.1.6 (Equivalence of all norms on finite dimensional vector spaces).
✫
If dim V < ∞ all norms (→ Def. 2.5.1) on V are equivalent (→ Def. 3.1.5).
✪
3.1.1 Speed of convergence
△
Here and in the sequel, ‖·‖ designates a generic vector norm, see Def. 2.5.1. Any occurring matrix
norm is induced by this vector norm, see Def. 2.5.2.
It is important to be aware which statements depend on the choice of norm and which do not!
Remark 3.1.3 (Seeing linear convergence).
norms of iteration errors
↕
∼ straight line in lin-log plot
e
“Speed of convergence” ↔ decrease of norm (see Def. 2.5.1) of iteration error
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∥
∥e (k)∥ ∥ ∥ ≤ L
k ∥ ∥e
(0) ∥ ,
∥
log( ∥e (k)∥ ∥
∥ ∥ ∥∥e ∥) ≤ k log(L) + log(
(0) ∥) .
(•: Any “faster” convergence also qualifies as linear
!)
1 2 3 4 5 6 7 8 Fig. k30
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