Sufficient Convergence Condition for Gauss–Jacobi

Summary

Strict diagonal dominance of A is a practical sufficient condition for Jacobi (and often Gauss–Seidel) convergence. The sharp criterion for any stationary iteration x(k+1)=Tx(k)+c is ρ(T)<1 .

Prerequisites

Problem Type

Decide whether Jacobi iteration for Ax=b is guaranteed to converge.

Method Definition

Jacobi matrix: with A=D+L+U ,

TJ=−D−1(L+U)=I−D−1A.

Spectral radius criterion (necessary and sufficient). The iteration converges for every x(0) if and only if

ρ(TJ)=maxi|λi(TJ)|<1.

Norm criterion (sufficient). If ∥TJ∥<1 for some subordinate matrix norm, then ρ(TJ)<1 , so the method converges.[1]

Strict diagonal dominance (sufficient). If

|aii|>∑j≠i|aij|for all i,

then ∥TJ∥∞<1 , hence Jacobi converges.

Assumptions / Requirements

Worked Example 1 (borderline dominance)

A=(21−1−1411−16)

Row 1: |2|=|1|+|−1| (not strict). Rows 2–3 are strictly dominant. Dominance test is inconclusive; one must inspect ρ(TJ) (or run the iteration carefully).

Worked Example 2 (strict dominance)

A=(10−120−111−132−110−103−18)

Each row satisfies |aii|>∑j≠i|aij| , so Jacobi converges for every start.

Error / Accuracy

Even when convergence is guaranteed, monitor ∥x(k+1)−x(k)∥ and ∥b−Ax(k)∥ .

Common Failure Modes

Connections

References


  1. Burden & Faires, Numerical Analysis, iterative methods; Saad, Iterative Methods for Sparse Linear Systems; NIST DLMF Ch. 3, https://dlmf.nist.gov/3 ↩︎