If , the SOR method simplifies
to the Gauss-Seidel method. A theorem due to
Kahan [130] shows that SOR fails to
converge if
is outside the interval
. Though
technically the term underrelaxation
should be used when
, for convenience the term
overrelaxation is now used for any value
of
.
In general, it is not possible to compute in advance the value
of that is optimal with respect to the rate of convergence of
SOR. Even when it is possible to compute the optimal value
for
, the expense of such computation is usually prohibitive.
Frequently, some heuristic estimate is used, such as
where
is the mesh spacing of the discretization of the
underlying physical domain.
If the coefficient matrix is symmetric and positive definite, the
SOR iteration is guaranteed to converge for any
value of
between 0 and 2, though the choice of
can
significantly affect the rate at which the SOR iteration
converges. Sophisticated implementations of the SOR
algorithm (such as that found in ITPACK [140]) employ adaptive
parameter estimation schemes to try to home in on the appropriate
value of
by estimating the rate at which the iteration is
converging.
Adaptive methods: Iterative methods that collect information
about the coefficient matrix during the iteration process, and use
this to speed up convergence.
Symmetric matrix: See: Matrix properties.
Diagonally dominant matrix: See: Matrix properties
-Matrix: See: Matrix properties.
Positive definite matrix: See: Matrix properties.
Matrix properties: We call a square matrix
For coefficient matrices of a special class called consistently
ordered with property A (see
Young [217]), which includes certain orderings of matrices
arising from the discretization of elliptic PDEs, there is a direct
relationship between the spectra of the Jacobi
and SOR iteration matrices. In principle, given the
spectral radius of the
Jacobi iteration matrix, one can determine a priori the theoretically optimal value of
for SOR:
This is seldom done, since calculating the spectral radius of the
Jacobi matrix requires an impractical amount of computation. However,
relatively inexpensive rough estimates of (for example, from
the power method, see Golub and Van Loan [p. 351]GoVL:matcomp)
can yield reasonable estimates for the optimal value of
.