System of linear equations is widely used especially in industries. Industrial mathematical applications usually involve large problem. System of linear equation can be solved using direct and indirect method. Direct method requires the use of inverse matrix to solve the problem. However, for large system of linear equation, finding an inverse could be difficult and time consuming. Therefore, indirect methods in the form of numerical calculation such as Successive Over‐Relaxation, Conjugate Gradient and Preconditioned Conjugate Gradient are used. The aim of this research is to compare the performance of those three methods to solve variety of system of linear equation from small scale to large scale interm of number of iteration and CPU time. Numerical results show that the Conjugate Gradient method is the best method for solving system of linear equation in terms of both number of iteration and CPU time. Above all, those three methods could be used to solve system of linear equations.
