Optimum parameter for the SOR-like method for augmented systems

Abstract

Recently, several proposals for the generalization of Young's SOR method to the saddle point problem or the augmented system has been presented. One of the most practical versions is the SOR-like method given by Golub et al., [(2001). SOR-like methods for augmented systems. BIT, 41, 71–85.], where the convergence and the determination of its optimum parameters were given. In this article, a full characterization of the spectral radius of the SOR-like iteration matrix is given, and an explicit expression for the optimum parameter is given in each case. The new results also lead to different results to that of Golub et al. Besides, it is shown that by the choices of the preconditioning matrix, the optimum SOR-like iteration matrix has no complex eigenvalues, therefore, it can be accelerated by semi-iterative methods.

Keywords:

• SOR method
• SOR-like method
• GSOR method
• Saddle point problem
• Augmented system
• Iterative method
• Optimum parameter