Solution (source code)

= Solution

The <Householder-John theorem> states that if $A=M-N$ is Hermitian positive definite and $M^*+N$ is also Hermitian positive definite, then $M$ is invertible and $\rho(M^{-1}N)<1$. The associated stationary iteration $x^{(k+1)}=M^{-1}Nx^{(k)}+M^{-1}b$ therefore converges from every starting vector. For designing a method, choose a splitting with easily solved $M$ and verify the positive-definiteness condition on $M^*+N$; it is a sufficient certificate and does not require computing every iteration-matrix <eigenvalue>.

For completeness, put $C=M^*+N=M^*+M-A$. If $Mv=0$ for $v\ne0$, then $v^*Cv=-v^*Av<0$, a contradiction. If $M^{-1}Nv=zv$, then $Av=(1-z)Mv$. The case $z=1$ contradicts invertibility of $A$. Taking scalar products and using Hermitian symmetry gives
$$
(1-|z|^2)v^*Av=|1-z|^2v^*Cv>0,
$$
hence $|z|<1$. The usual spectral-radius convergence criterion now proves the stated conclusion.

For the given scheme take the <matrix splitting>
$$
M=D/\omega+L,\qquad N=(1/\omega-1)D-U.
$$
Since $A$ is real symmetric, $U=L^T$, and since it is positive definite, every diagonal entry in $D$ is positive. Thus
$$
M^T+N=(2/\omega-1)D
$$
is positive definite exactly for $0<\omega<2$. The theorem applies, and the iteration <matrix> has <spectral radius> below one. The unique solution $x_*=A^{-1}b$ is its <fixed point>, so $x^{(k)}-x_*=(M^{-1}N)^k(x^{(0)}-x_*)\to0$. Therefore
$$
\boxed{x^{(k)}\to A^{-1}b\quad\text{for every }x^{(0)}\text{ and }0<\omega<2}.
$$
The scheme is <successive over-relaxation>; at $\omega=1$ it becomes the \b[<Gauss-Seidel method>].