Two-sided Grassmann-Rayleigh quotient iteration (Q2267769)

The authors merge Ostrowski's two-sided Rayleigh quotient iteration (RQI) for a single-vector pair with the block (or Grassmann) RQI to obtain a two-sided Grassmann iteration (2sGRQI) that operates on pairs of \(p\)-dimensional subspaces. It is shown that this iteration converges locally cubically to the pair of left-right \(p\)-dimensional eigenspaces of a nonnormal matrix \(C\). Several lemmas are proved on their own right. The practical implementation of 2sGRQI is a non trivial issue because of the need to solve Sylvester equations that become increasingly ill-conditioned as the iteration progresses. This inherent ill-condition confers to 2sGRQI its superlinear convergence. It is shown that the 2sGRQI algorithm induces particular one-sided formulations for some structured eigenproblems. It is observed numerically that certain ways of solving the Sylvester equations are preferable to others.