Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2006/ii/paper-1/38c/b/solution

Positive definiteness of implies . Let , a symmetric positive definite matrix. The additional hypothesis says , so all eigenvalues of satisfy . The ordinary Jacobi error matrix is similar to and therefore has eigenvalues . Its spectral radius is less than one. The convergence criterion for stationary linear iterations consequently gives convergence from every starting vector.

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