Formalization of Asymptotic Convergence for Stationary Iterative Methods

Abstract: Solutions to differential equations, which are used to model physical systems, are computed numerically by solving a set of discretized equations. This set of discretized equations is reduced to a large linear system, whose solution is typically found using an iterative solver. We start with an initial guess, $x_0$, and iterate the algorithm to obtain a sequence of solution vectors, $x_k$, which are approximations to the exact solution of the linear system, $x$. The iterative algorithm is said to converge to $x$, in the field of reals, if and only if $x_k$ converges to $x$ in the limit of $k \to \infty$. In this paper, we formally prove the asymptotic convergence of a particular class of iterative methods called the stationary iterative methods, in the Coq theorem prover. We formalize the necessary and sufficient conditions required for the iterative convergence, and extend this result to two classical iterative methods: the Gauss--Seidel method and the Jacobi method. For the Gauss--Seidel method, we also formalize a set of easily testable conditions for iterative convergence, called the Reich theorem, for a particular matrix structure, and apply this on a model problem of the one-dimensional heat equation. We also apply the main theorem of iterative convergence to prove convergence of the Jacobi method on the model problem.