CIRR: a Rayleigh-Ritz method with contour integral for generalized eigenvalue problems (Q2479957)

Given large real symmetric matrices \(A\) and \(B\), with \(B\) positive definite, the authors consider a method for computing those eigenvalues of \(Ax=\lambda Bx\) which lie in a given region, and also computing the corresponding eigenvectors. The method uses a contour integral to construct a subspace for Rayleigh--Ritz projection. Evaluation of the integral requires the solution of a number of systems of linear equations, which may be solved in parallel. The method is compared numerically with an earlier method of the first author and \textit{H. Sugiura} [J. Comput. Appl. Math. 159, No.\,1, 119--128 (2003; Zbl 1037.65040)].