Gauss-Seidel method 2026-10-05
With , the Gauss-Seidel method solves . It uses each newly computed coordinate immediately in the remaining triangular solve. It is successive over-relaxation with parameter one, and converges from every start when is symmetric positive definite.
Past exam of the mathematics course of the University of Cambridge 2017 ii Paper 1 39A Solution Created 2026-09-24 Updated 2026-10-05
The Householder-John theorem states that if is Hermitian positive definite and is also Hermitian positive definite, then is invertible and . The associated stationary iteration therefore converges from every starting vector. For designing a method, choose a splitting with easily solved and verify the positive-definiteness condition on ; it is a sufficient certificate and does not require computing every iteration-matrix eigenvalue.
For completeness, put . If for , then , a contradiction. If , then . The case contradicts invertibility of . Taking scalar products and using Hermitian symmetry giveshence . The usual spectral-radius convergence criterion now proves the stated conclusion.
For the given scheme take the matrix splittingSince is real symmetric, , and since it is positive definite, every diagonal entry in is positive. Thusis positive definite exactly for . The theorem applies, and the iteration matrix has spectral radius below one. The unique solution is its fixed point, so . ThereforeThe scheme is successive over-relaxation; at it becomes the Gauss-Seidel method.
Successive over-relaxation 2026-10-05
For a splitting , successive over-relaxation updatesIt reduces to the Gauss-Seidel method at . If is symmetric positive definite, the Householder-John theorem applies to , , since is positive definite for .