Rayleigh quotient algorithms for nonsymmetric matrix pencils (Q1027777)

The authors apply the Rayleigh quotient iteration algorithm to semisimple regular matrix pencils \(A-\lambda B\) to find eigenvalues and eigenvectors \(\lambda_i\), \(x_i\), \(y^*_i\), \(y^(_i(A- \lambda_iB)x+ i= 0\), \(i= 1,2,\dots, n\). The iterative procedure, for given approximations \(\Lambda_0\), \(v_0\), \(w^*_0\), is to generate iteratively \(\Lambda_{k+ 1}= w^*_k Av_k/w^*_k Bv_k\), \(v_{k+1}= (A- \Lambda_k B)^{-1} Bv_k\), \(w_{k+1}= w^*_kB(A-\Lambda_k B)^{-1}\), \(k= 0,1,2,\dots\) until convergence has been obtained. It is proved that cubic convergence is obtained for eigenvalues and superlinear convergence of order three for eigenvectors. The key to successful application of the algorithm is choice of starting values. This problem is addressed in detail in three numerical examples.