Preconditioned SOR methods for generalized least-squares problems (Q1568244)

Iterative methods for the generalized least squares problem defined as \(\min (Ax-b)^T W^{-1} (Ax-b)\) with \(W\) symmetric and positive definite are considered. The developed preconditioned successive overrelaxation (SOR) methods are specially devised also for the augmented systems of the problem. The convergence region for the relaxation parameter is determined. The convergence analysis and numerical experiments show that the preconditioned block SOR methods are very good alternatives for solving the problem.