On the convergence rate of SOR: A worst case estimate (Q1332342): Difference between revisions
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Latest revision as of 17:44, 22 May 2024
scientific article
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English | On the convergence rate of SOR: A worst case estimate |
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On the convergence rate of SOR: A worst case estimate (English)
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12 September 1994
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Let \(A\) be any real symmetric positive definite \(n \times n\) matrix, and \(\kappa (A)\) its spectral condition number. It is shown that the optimal convergence rate \(\rho^*_{\text{SOR}} = \min_{0 < \omega < 2} \rho (M_{\text{SOR}, \omega})\) of the succesive overrelaxation (SOR) method satisfies \(\rho^*_{\text{SOR}} \leq 1 - 1/(\alpha_ n \kappa (A))\), \(\alpha_ n \approx \log n\). The worst case estimate is asymptotically sharp as \(n \to \infty\). The corresponding examples are given by certain Toeplitz matrices.
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spectral condition number
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optimal convergence rate
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succesive overrelaxation
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worst case estimate
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Toeplitz matrices
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