Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2007/ii/paper-2/38c/a/solution

One form of the Householder-John theorem is as follows. Suppose and , with invertible and positive definite. Then the stationary iteration converges for every initial vector exactly when is positive definite; its iteration matrix is and convergence means spectral radius below one.
For a known positive definite system, design a splitting with easy to solve, such as diagonal or triangular, and arrange . The theorem then guarantees convergence. For example has when exceeds the largest eigenvalue of . In the converse direction, the discrete energy identity explains the criterion: stable gives as a convergent sum of positive matrices, while positive force every iteration eigenvalue inside the unit disk.

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