TITLE:
A Subspace Iteration for Calculating a Cluster of Exterior Eigenvalues
AUTHORS:
Achiya Dax
KEYWORDS:
Exterior Eigenvalues, Symmetric Matrices, Subspace Iterations, Interlacing, Restarted Krylov Methods
JOURNAL NAME:
Advances in Linear Algebra & Matrix Theory,
Vol.5 No.3,
September
1,
2015
ABSTRACT: In this
paper we present a new subspace iteration for calculating eigenvalues of symmetric
matrices. The method is designed to compute a cluster of k exterior eigenvalues. For example, k eigenvalues with the largest absolute values, the k algebraically largest eigenvalues, or
the k algebraically smallest
eigenvalues. The new iteration applies a Restarted Krylov method to collect
information on the desired cluster. It is shown that the estimated eigenvalues
proceed monotonically toward their limits. Another innovation regards the
choice of starting points for the Krylov subspaces, which leads to fast rate of
convergence. Numerical experiments illustrate the viability of the proposed
ideas.