Successive over-relaxation ($\omega$)

For a splitting $A=D+L+U$, successive over-relaxation updatesIt reduces to the Gauss-Seidel method at $\omega =1$. If $A$ is symmetric positive definite, the Householder-John theorem applies to $M=D/\omega +L$, $N=(1/\omega -1)D-U$, since $M^T+N=(2/\omega -1)D$ is positive definite for $0<\omega <2$.

Let $A=D+L+L^T$ be a real symmetric positive-definite matrix, with $D$ diagonal and $L$ strictly lower triangular. Put $B=D/\omega +L$ and $C_{\omega }=I-B^{-1}A$ for $\omega \ne 0$. The matrix norm induced by an energy norm reduces the question to $T=A^{1/2}{C}_{\omega }{A}^{-1/2}$. Direct multiplication and $B+B^T-A=(2/\omega -1)D$ giveThe left side is positive semidefinite. The matrix following the scalar coefficient on the right is positive-definite, since $D$ has positive diagonal and $B^{-1}{A}^{1/2}$ is an invertible matrix. For $0<\omega <2$, every eigenvalue of $T^{T}T$ therefore lies in $[0,1)$. Hence its spectral radius is below one and $\Vert C_{\omega }{\Vert }_A=\Vert T{\Vert }_2<1$. Iteration errors consequently decay geometrically in the energy norm. The argument proves convergence from every initial vector, without requiring the original iteration matrix to be symmetric.