Some convergence results related to the JOR iterative method for symmetric, positive-definite matrices (Q1186985): Difference between revisions

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Some convergence results related to the JOR iterative method for symmetric, positive-definite matrices
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    Some convergence results related to the JOR iterative method for symmetric, positive-definite matrices (English)
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    28 June 1992
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    The author considers the modified Jacobi iterative method (JOR) for solving a system of linear algebraic equations \(Ax=b\) with a positive definite matrix \(A\). If \(A\) is decomposed as \(A=D-N\), where \(D=\text{diag }A\), then splitting of the form \(A=\alpha D-\{N-(1-\alpha)D\}=D_ 1-N_ 1\) is used for a construction of \(JOR\)-scheme of the form \(D_ 1x^{n+1}=b+N_ 1x^ n\). The author proves that this scheme converges for all symmetric positive definite matrices when \(\alpha > n/2\), where \(n\) is the dimension of \(A\) and for the optimum \(\alpha_{opt}\) the well known formula \(\alpha_{opt}=(\lambda_{max}(D^{-1}A)+\lambda_{min}(D^{- 1}A))/2\) is given.
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    optimum parameter
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    convergence
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    overrelaxation
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    modified Jacobi iterative method
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    positive definite matrix
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    splitting
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