Paper 1, Section I, C

Numerical Analysis
Part IB, 2009

The real non-singular matrix ARm×mA \in \mathbb{R}^{m \times m} is written in the form A=AD+AU+ALA=A_{D}+A_{U}+A_{L}, where the matrices AD,AU,ALRm×mA_{D}, A_{U}, A_{L} \in \mathbb{R}^{m \times m} are diagonal and non-singular, strictly uppertriangular and strictly lower-triangular respectively.

Given bRmb \in \mathbb{R}^{m}, the Jacobi iteration for solving Ax=bA x=b is

ADxn=(AU+AL)xn1+b,n=1,2A_{D} x_{n}=-\left(A_{U}+A_{L}\right) x_{n-1}+b, \quad n=1,2 \ldots

where the nnth iterate is xnRmx_{n} \in \mathbb{R}^{m}. Show that the iteration converges to the solution xx of Ax=bA x=b, independent of the starting choice x0x_{0}, if and only if the spectral radius ρ(H)\rho(H) of the matrix H=AD1(AU+AL)H=-A_{D}^{-1}\left(A_{U}+A_{L}\right) is less than 1 .

Hence find the range of values of the real number μ\mu for which the iteration will converge when

A=[10μμ3μ4μ04]A=\left[\begin{array}{rrr} 1 & 0 & -\mu \\ -\mu & 3 & -\mu \\ -4 \mu & 0 & 4 \end{array}\right]