Convergence theory for preconditioned eigenvalue solvers in a nutshell (Q2362287): Difference between revisions

Suppose \(Ax=\mu Bx\) has ordered eigenvalues \(\mu_i\). In this paper iterates of the form \(x'=x -\frac{1}{\mu(x)} T(A-\mu(x)I)Ax\) are considered with \(\mu(x)=x^TBx/x^TAx\) the Rayleigh quotient and \(T\) a preconditioner such that the maximal singular value of \(I-A^{1/2}TA^{1/2}\) is bounded by \(\gamma<1\). Sharp bounds for the rate of convergence are proved. It is essentially given by \(\sigma^2\) with \(\sigma=\gamma+(1-\gamma)\mu_{i+1}/\mu_i\) if \(\mu(x)\in(\mu_{i+1},\mu_i)\). Such results were proved before by two of the authors [\textit{A. V. Knyazev} and \textit{K. Neymeyr}, Linear Algebra Appl. 358, No. 1--3, 95--114 (2003; Zbl 1037.65039); SIAM J. Matrix Anal. Appl. 31, No. 2, 621--628 (2009; Zbl 1191.49039)]. Here the proofs are simplified based on nonlinear programming and Karush-Kuhn-Tucker (KKT) theory.