To give a brief description, it is a technique used to improve the approximate solution to linear system This technique is generally only used on systems that are thought or determined to be ill-conditioned.
The process involves three primary steps:
Iterative Refinement Process
Once an approximation to the solution, , has been made, with either rounded-Gaussian elimination or otherwise, complete the following steps:
Continue to update step one with the newly calculated until a desired tolerance has been reached.
In theory, the condition number of a matrix depends on the norms of the matrix and its inverse. In practice, however, calculating the inverse is subject to round-off error and the accuracy of the calculations.
If these calculations involve arithmetic with t digits of accuracy, then the approximate condition number for the matrix - call it A - is the norm of A the norm of the approximation of the inverse of A.
Assuming that the approximate solution to the linear system is being determined with t-digit arithmetic and Gaussian elimination, we can show
where r is the residual vector for the approximation
This approximation for the condition number can be obtained without having to invert matrix A.
When doing iterative refinement problems, we will have, or will calculate the values for and . The approximate solution, satisfies
so is an estimate of the error for approximate solution Observe that
This approximates the condition number associated with solving and can be re-written and expressed as seen here:
Solve using Gaussian elimination and iterative refinement (and using two-digit rounding arithmetic). Continue using iterative refinement until is found. Compare with the true solution.
First, use a calculator or computer to find the true solution of this system. We will discover that
Set up the augmented matrix and solve using Guassian elimination, making sure to use only two-digit rounding arithmetic.
Solving with back-substitution we find the first approximation to the system:
Because we mentioned that this system is ill-conditioned, we can use the iterative refinement process to find a better approximation. Recall the steps mentioned above:
STEP 1: Compute the residual
STEP 2: Now solve using rounded Gaussian elimination to find the vector.
STEP 3: Update
Note that is a better representation of , than however it is still not a very accurate representation. Continue with a couple more iterations.
Repeat, as needed.
In the second iteration of Iterative Refinement, we find the following:
In the third iteration we find
which we can use to find our final approximation, as
Recall that the true solution of the linear system is After completing three iterations of iterative refinement we have approximate the solution which is significantly closer than our original approximation
Estimate the condition number in Part 1 using the method discussed above, and compare this with the condition number calculated using norms.
We can find the true condition number by calculating it using norms - in the way it is described on the condition number Wikipedia . (Keep in mind, we will still use 2 significant digits in this example as well.)
We can then solve for the condition number
We can use our approximations, and , found in the first iteration of Example 1 to use in the method we learned above, on Approximating the Condition Number.
So we have found the true condition number to be and the approximation to be . These numbers are both in the realm of , meaning both for the true and approximate condition number, we can see there may be a loss of two digits of accuracy.