Paper ID sheet
- TITLE: A truncated-CG style method for symmetric
generalized eigenvalue problems
- AUTHORS: P.-A. Absil, C. G. Baker, K. A. Gallivan.
- ABSTRACT:
A numerical algorithm is proposed for computing an extreme eigenpair of
a symmetric/positive-definite matrix pencil $(A,B)$. The leftmost or
the
rightmost eigenvalue can be targeted. Knowledge of $(A,B)$ is only
required through a routine that performs matrix-vector products. The
method has excellent global convergence properties and its local rate of
convergence is superlinear. It is based on a constrained truncated-CG
trust-region strategy to optimize the Rayleigh quotient, in the
framework of a recently-proposed trust-region scheme on Riemannian
manifolds.
- STATUS: Journal of Computational and Applied Mathematics, Volume
189, Issues 1-2, 1 May 2006, Pages 274-285.
BibTeX citation:
@ARTICLE{AbsBakGal2006-JCAM,
author = "Absil, P.-A. and Baker, C. G. and Gallivan, K. A.",
title= "A truncated-{CG} style method for symmetric generalized eigenvalue problems",
journal = "J. Comput. Appl. Math.",
fjournal = "Journal of Computational and Applied Mathematics",
volume = 189,
number = "1--2",
year = 2006,
pages = "274--285",
date_full = "1 May 2006",
}
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