The real non-singular matrix A∈Rm×m is written in the form A=AD+AU+AL, where the matrices AD,AU,AL∈Rm×m are diagonal and non-singular, strictly uppertriangular and strictly lower-triangular respectively.
Given b∈Rm, the Jacobi iteration for solving Ax=b is
ADxn=−(AU+AL)xn−1+b,n=1,2…
where the nth iterate is xn∈Rm. Show that the iteration converges to the solution x of Ax=b, independent of the starting choice x0, if and only if the spectral radius ρ(H) of the matrix H=−AD−1(AU+AL) is less than 1 .
Hence find the range of values of the real number μ for which the iteration will converge when
A=⎣⎢⎡1−μ−4μ030−μ−μ4⎦⎥⎤