Stein-Rosenberg theorem GudangMovies21 Rebahinxxi LK21

    The Stein-Rosenberg theorem, proved in 1948, states that under certain premises, the Jacobi method and the Gauss-Seidel method are either both convergent, or both divergent. If they are convergent, then the Gauss-Seidel is asymptotically faster than the Jacobi method.


    Statement


    Let



    A
    =
    (

    a

    i
    j


    )



    R


    n
    ×
    n




    {\displaystyle A=(a_{ij})\in \mathbb {R} ^{n\times n}}

    . Let



    ρ
    (
    X
    )


    {\displaystyle \rho (X)}

    be the spectral radius of a matrix



    X


    {\displaystyle X}

    . Let




    T

    J


    =

    D


    1


    (
    L
    +
    U
    )


    {\displaystyle T_{J}=D^{-1}(L+U)}

    and




    T

    1


    =
    (
    D

    L

    )


    1


    U


    {\displaystyle T_{1}=(D-L)^{-1}U}

    be the matrix splitting for the Jacobi method and the Gauss-Seidel method respectively.
    Theorem: If




    a

    i
    j



    0


    {\displaystyle a_{ij}\leq 0}

    for



    i

    j


    {\displaystyle i\neq j}

    and




    a

    i
    i


    >
    0


    {\displaystyle a_{ii}>0}

    for



    i
    =
    1
    ,

    ,
    n


    {\displaystyle i=1,\ldots ,n}

    . Then, one and only one of the following mutually exclusive relations is valid:




    ρ
    (

    T

    J


    )
    =
    ρ
    (

    T

    1


    )
    =
    0


    {\displaystyle \rho (T_{J})=\rho (T_{1})=0}

    .




    0
    <
    ρ
    (

    T

    1


    )
    <
    ρ
    (

    T

    J


    )
    <
    1


    {\displaystyle 0<\rho (T_{1})<\rho (T_{J})<1}

    .




    1
    =
    ρ
    (

    T

    J


    )
    =
    ρ
    (

    T

    1


    )


    {\displaystyle 1=\rho (T_{J})=\rho (T_{1})}

    .




    1
    <
    ρ
    (

    T

    J


    )
    <
    ρ
    (

    T

    1


    )


    {\displaystyle 1<\rho (T_{J})<\rho (T_{1})}

    .


    Proof and applications


    The proof uses the Perron-Frobenius theorem for non-negative matrices. Its proof can be found in Richard S. Varga's 1962 book Matrix Iterative Analysis.
    In the words of Richard Varga:

    the Stein-Rosenberg theorem gives us our first comparison theorem for two different iterative methods. Interpreted in a more practical way, not only is the point Gauss-Seidel iterative method computationally more convenient to use (because of storage requirements) than the point Jacobi iterative matrix, but it is also asymptotically faster when the Jacobi matrix




    T

    J




    {\displaystyle T_{J}}

    is non-negative

    Employing more hypotheses, on the matrix



    A


    {\displaystyle A}

    , one can even give quantitative results. For example, under certain conditions one can state that the Gauss-Seidel method is twice as fast as the Jacobi iteration.


    References

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