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Iterative methods, Successive over-relaxation

The method of successive over-relaxation is an iterative technique that solves the left hand side of this expression for x , using previous value for x on the right hand side. Analytically, this may be written as: \mathbf{x}^{(k+1)} = (D+\omega L)^{-1} \big(\omega \mathbf{b} - [\omega U + (\omega-1) D ] \mathbf{x}^{(k)}\big). However, by taking advantage of the triangular form of (D+\omega L) , the elements of x^{(k+1)} can be computed sequentially using forward substitution: x^{(k+1)}_i = (1-\omega)x^{(k)}_i + \frac{\omega}{a_{ii}} \left(b_i - \sum_{j > i} a_{ij}x^{(k)}_j - \sum_{j < i} a_{ij}x^{(k+1)}_j \right),\quad i=1,2,\ldots,n. The choice of relaxation factor is not necessarily easy, and depends upon the properties of the coefficient matrix. For symmetric, positive-definite matrices it can be proven that 0 < \omega < 2 will lead to convergence, but we are generally interested in faster convergence rather than just convergence.