Gauss-Seidel method Created 2026-10-05 Updated 2026-10-18
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 a symmetric positive-definite matrix.
To solve a linear system , split its matrix into the diagonal matrix and the strictly lower and upper parts , retaining their actual signs. Every diagonal entry must be nonzero. A sweep updates coordinates in order:The Jacobi method uses the old vector throughout; the Gauss-Seidel method reuses each fresh coordinate. Thus the update order is part of the method.[ref]
Notes for Ma221 Lecture 21, Nov 10 2009. Math 221, Matrix Computations, Fall 2009; Gauss-Seidel: component loop, splitting and update-order remark, web lines 372–380
The matrix splitting has , , so its iteration matrix isCompute the update by forward substitution with the lower triangular matrix , rather than forming a matrix inverse. For a sparse matrix, a sweep only visits stored entries and can overwrite the working vector. Dependencies on fresh coordinates constrain parallel execution. This makes the Gauss-Seidel method an inexpensive solver component, including in a multigrid method.[ref]
Notes for Ma221 Lecture 21, Nov 10 2009. Math 221, Matrix Computations, Fall 2009; Basic iterative methods, cheap splitting requirement; Gauss-Seidel loop and red-black ordering; opening list of solver building blocks
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 .