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The Riccati algorithm for eigenvalues and invariant subspaces of matrices with inexpensive action
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    The Riccati algorithm for eigenvalues and invariant subspaces of matrices with inexpensive action (English)
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    5 February 2003
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    This paper concentrates on numerical methods for computing Lipschitz-stable invariant subspaces. This is achieved through corrections to subspaces, corrections which satisfy a generalised algebraic Riccati equation. This is a tensor or Kronecker product operator, and the formulation is in tensor products of Krylov subspaces, and the algorithms can be interpreted as Riccati versions of subspace iteration and block Rayleigh quotient iteration. The paper ends with some numerical examples and comparisons with the Jacobi-Davidson method.
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    Ritz-Galerkin method
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    comparison of methods
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    algebraic Riccati equation
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    tensor products
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    invariant subspace
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    orthogonal corrections
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    stability
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    Krylov subspaces
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    subspace iteration
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    block Rayleigh quotient iteration
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    numerical examples
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    Jacobi-Davidson method
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