A randomized homotopy for the Hermitian eigenpair problem (Q2340509)

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A randomized homotopy for the Hermitian eigenpair problem
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    A randomized homotopy for the Hermitian eigenpair problem (English)
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    20 April 2015
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    The authors describe and analyze a randomized homotopy algorithm for the Hermitian eigenvalue problem. For an \(n \times n\) Hermitian matrix \(A\), it returns a pair \((\lambda, v)\) that is a good approximation of an eigenpair of \(A\). The average cost of this algorithm -- over the random choices made by the algorithm and assuming \(A\) drawn from a Gaussian unitary ensemble [GUE(n)] distribution -- is bounded by \({\mathcal{O}}(n^6)\).
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    complexity analysis
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    randomized homotopy algorithm
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    Hermitian eigenvalue problem
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    Gaussian unitary ensemble
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