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\section{Linear systems}
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\chapter{Linear systems}
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A linear system:
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\begin{equation*}
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@ -42,7 +42,7 @@ where:
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\subsection{Square linear systems}
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\section{Square linear systems}
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\marginnote{Square linear system}
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A square linear system $\matr{A}\vec{x} = \vec{b}$ with $\matr{A} \in \mathbb{R}^{n \times n}$ and $\vec{x}, \vec{b} \in \mathbb{R}^n$
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has an unique solution iff one of the following conditions is satisfied:
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@ -58,14 +58,14 @@ However this approach requires to compute the inverse of a matrix, which has a t
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\subsection{Direct methods}
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\section{Direct methods}
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\marginnote{Direct methods}
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Direct methods compute the solution of a linear system in a finite number of steps.
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Compared to iterative methods, they are more precise but more expensive.
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The most common approach consists in factorizing the matrix $\matr{A}$.
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\subsubsection{Gaussian factorization}
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\subsection{Gaussian factorization}
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\marginnote{Gaussian factorization\\(LU decomposition)}
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Given a square linear system $\matr{A}\vec{x} = \vec{b}$,
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the matrix $\matr{A} \in \mathbb{R}^{n \times n}$ is factorized into $\matr{A} = \matr{L}\matr{U}$ such that:
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@ -90,7 +90,7 @@ To find the solution, it is sufficient to solve in order:
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The overall complexity is $O(\frac{n^3}{3}) + 2 \cdot O(n^2) = O(\frac{n^3}{3})$
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\subsubsection{Gaussian factorization with pivoting}
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\subsection{Gaussian factorization with pivoting}
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\marginnote{Gaussian factorization with pivoting}
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During the computation of $\matr{A} = \matr{L}\matr{U}$
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(using Gaussian elimination\footnote{\url{https://en.wikipedia.org/wiki/LU\_decomposition\#Using\_Gaussian\_elimination}}),
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@ -115,7 +115,7 @@ The solution to the system ($\matr{P}^T\matr{A}\vec{x} = \matr{P}^T\vec{b}$) can
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\subsection{Iterative methods}
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\section{Iterative methods}
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\marginnote{Iterative methods}
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Iterative methods solve a linear system by computing a sequence that converges to the exact solution.
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Compared to direct methods, they are less precise but computationally faster and more adapt for large systems.
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as $\vec{x}_k = g(\vec{x}_{k-1})$.
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The two most common families of iterative methods are:
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\begin{description}
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\begin{descriptionlist}
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\item[Stationary methods] \marginnote{Stationary methods}
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compute the sequence as:
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\[ \vec{x}_k = \matr{B}\vec{x}_{k-1} + \vec{d} \]
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@ -138,13 +138,13 @@ The two most common families of iterative methods are:
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have the form:
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\[ \vec{x}_k = \vec{x}_{k-1} + \alpha_{k-1}\vec{p}_{k-1} \]
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where $\alpha_{k-1} \in \mathbb{R}$ and the vector $\vec{p}_{k-1}$ is called direction.
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\end{description}
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\end{descriptionlist}
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\subsubsection{Stopping criteria}
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\subsection{Stopping criteria}
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\marginnote{Stopping criteria}
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One ore more stopping criteria are needed to determine when to truncate the sequence (as it is theoretically infinite).
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The most common approaches are:
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\begin{description}
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\begin{descriptionlist}
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\item[Residual based]
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The algorithm is terminated when the current solution is close enough to the exact solution.
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The residual at iteration $k$ is computed as $\vec{r}_k = \vec{b} - \matr{A}\vec{x}_k$.
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@ -158,12 +158,12 @@ The most common approaches are:
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The algorithm is terminated when the change between iterations is very small.
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Given a tolerance $\tau$, the algorithm stops when:
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\[ \Vert \vec{x}_{k} - \vec{x}_{k-1} \Vert \leq \tau \]
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\end{description}
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\end{descriptionlist}
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Obviously, as the sequence is truncated, a truncation error is introduced when using iterative methods.
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\subsection{Condition number}
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\section{Condition number}
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Inherent error causes inaccuracies during the resolution of a system.
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This problem is independent from the algorithm and is estimated using exact arithmetic.
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