2.II.18F

Numerical Analysis | Part IB, 2007

For a symmetric, positive definite matrix AA with the spectral radius ρ(A)\rho(A), the linear system Ax=bA x=b is solved by the iterative procedure

x(k+1)=x(k)τ(Ax(k)b),k0x^{(k+1)}=x^{(k)}-\tau\left(A x^{(k)}-b\right), \quad k \geq 0

where τ\tau is a real parameter. Find the range of τ\tau that guarantees convergence of x(k)x^{(k)} to the exact solution for any choice of x(0)x^{(0)}.

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