1.II.38C

Numerical Analysis
Part II, 2008

The Poisson equation 2u=f\nabla^{2} u=f in the unit square Ω=[0,1]×[0,1]\Omega=[0,1] \times[0,1], with zero boundary conditions on Ω\partial \Omega, is discretized with the nine-point formula

103um,n23(um+1,n+um1,n+um,n+1+um,n1)16(um+1,n+1+um+1,n1+um1,n+1+um1,n1)=h2fm,n,\begin{aligned} \frac{10}{3} u_{m, n} &-\frac{2}{3}\left(u_{m+1, n}+u_{m-1, n}+u_{m, n+1}+u_{m, n-1}\right) \\ &-\frac{1}{6}\left(u_{m+1, n+1}+u_{m+1, n-1}+u_{m-1, n+1}+u_{m-1, n-1}\right)=-h^{2} f_{m, n}, \end{aligned}

where 1m,nM,um,nu(mh,nh)1 \leqslant m, n \leqslant M, u_{m, n} \approx u(m h, n h), and (mh,nh)(m h, n h) are grid points.

(a) Prove that, for any ordering of the grid points, the method can be written as Au=bA \mathbf{u}=\mathbf{b} with a symmetric positive-definite matrix AA.

(b) Describe the Jacobi method for solving a linear system of equations, and prove that it converges for the above system.

[You may quote without proof the corollary of the Householder-John theorem regarding convergence of the Jacobi method.]