A Grassmann-Rayleigh quotient iteration for computing invariant subspaces

Absil, P.-A.; Mahony, R.; Sepulchre, Rodolphe; Van Dooren, P.

doi:10.1137/S0036144500378648

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A Grassmann-Rayleigh quotient iteration for computing invariant subspaces

Absil, P.-A.; Mahony, R.; Sepulchre, Rodolphe et al.

2002 • In SIAM Review, 44 (1), p. 57-73

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https://hdl.handle.net/2268/33244

DOI
10.1137/S0036144500378648

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Keywords :

Rayleigh quotient iteration; invariant subspace; Grassmann manifold

Abstract :

[en] The classical Rayleigh quotient iteration (RQI) allows one to compute a one-dimensional invariant subspace of a symmetric matrix A. Here we propose a generalization of the RQl which computes a p-dimensional invariant subspace of A. Cubic convergence is preserved and the cost per iteration is low compared to other methods proposed in the literature.

Disciplines :

Mathematics

Author, co-author :

Absil, P.-A.

Mahony, R.

Sepulchre, Rodolphe ; Université de Liège - ULiège > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Systèmes et modélisation

Van Dooren, P.

Language :

English

Title :

A Grassmann-Rayleigh quotient iteration for computing invariant subspaces

Publication date :

March 2002

Journal title :

SIAM Review

ISSN :

0036-1445

eISSN :

1095-7200

Publisher :

Siam Publications, Philadelphia, United States - Pennsylvania

Volume :

Issue :

Pages :

57-73

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBi :

since 21 December 2009

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