Global convergence of the restarted Lanczos and Jacobi-Davidson methods for symmetric eigenvalue problems (Q500356)

Global convergence of the restarted Lanczos method in exact arithmetic using certain convergence properties of the Rayleigh-Ritz procedure, which can be obtained from the discussion in [\textit{M. Crouzeix} et al., SIAM J. Sci. Comput. 15, No. 1, 62--76 (1994; Zbl 0803.65042)], is proved. For the restarted Lanczos method, Sorensen's previous analysis establishes global convergence to the largest eigenvalues under the technical assumption that the absolute values of the off-diagonal elements of the Lanczos tridiagonal matrix are larger than a positive constant throughout the iterations. In this paper, global convergence without any such assumption is proved. The only assumption is that the initial vector is not orthogonal to any of the target exact eigenvectors. The convergence theorem is extended to the restarted Lanczos method for computing both the largest and smallest eigenvalues. Certain global convergence theorems of the block Lanczos and Jacobi-Davidson methods are also derived.