Saturday, April 4, 2009

Linear Solvers (Successive Over Relaxation)

Successive over-relaxation (SOR) is a linear solver which speed up convergence of the Gauss–Seidel method. Implementation of the method is quite easy and convergence is fast.

SOR has been frequently used for computing PageRank (see Adaptive Methods for the Computation of PageRank , A Survey on PageRank Computing , Comparison of Krylov subspace methods on the PageRank problem ).

Here you have the code for SOR solver in C++

PS: if you are interested in Linear Solvers with C++, I suggest using Dolfin, which provides high-performance linear algebra through uBLAS, PETSc, Trilinos and MTL4 (experimental) with simple C++ and Python wrappers.

2 comments:

  1. Thanks! I've been looking for this :)

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  2. can anyone please send me code for SOR? i need it for solving steady state probabilities.

    Thanks
    Garima

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