2D Eigenvalue Problem II: Rayleigh Quotient Iteration and Applications

MaRDI QIDQ6411796zbMATH OpenFDO

Authors Tianyi Lu, Yangfeng Su, Zhaojun Bai

Publication date 24 September 2022

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Numerical optimization and variational techniques (65K10)

Abstract: In Part I of this paper, we introduced a 2D eigenvalue problem (2DEVP) and presented theoretical results of the 2DEVP and its intrinsic connetion with the eigenvalue optimizations. In this part, we devise a Rayleigh quotient iteration (RQI)-like algorithm, 2DRQI in short, for computing a 2D-eigentriplet of the 2DEVP. The 2DRQI performs $2imes$ to $8imes$ faster than the existing algorithms for large scale eigenvalue optimizations arising from the minmax of Rayleigh quotients and the distance to instability of a stable matrix.

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