Jacobi convergence for a three-by-three equicorrelation matrix
ID: jacobi-convergence-for-a-three-by-three-equicorrelation-matrix
For a three-by-three matrix with diagonal entries one and every off-diagonal entry , the Jacobi method iteration matrix has eigenvalue on the all-ones vector and eigenvalue with multiplicity two on its orthogonal complement. Its spectral radius is , so Jacobi iteration converges exactly when .
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