Paper 3, Section II, D

Numerical Analysis
Part II, 2014

Consider the linear system

Ax=bA x=b

where ARn×nA \in \mathbb{R}^{n \times n} and b,xRnb, x \in \mathbb{R}^{n}.

(i) Define the Jacobi iteration method with relaxation parameter ω\omega for solving (1).

(ii) Assume that AA is a symmetric positive-definite matrix whose diagonal part DD is such that the matrix 2DA2 D-A is also positive definite. Prove that the relaxed Jacobi iteration method always converges if the relaxation parameter ω\omega is equal to 1.1 .

(iii) Let AA be the tridiagonal matrix with diagonal elements aii=αa_{i i}=\alpha and off-diagonal elements ai+1,i=ai,i+1=βa_{i+1, i}=a_{i, i+1}=\beta, where 0<β<12α0<\beta<\frac{1}{2} \alpha. For which values of ω\omega (expressed in terms of α\alpha and β\beta ) does the relaxed Jacobi iteration method converge? What choice of ω\omega gives the optimal convergence speed?

[You may quote without proof any relevant results about the convergence of iterative methods and about the eigenvalues of matrices.]