New methods for calculations of the lowest eigenvalues of the real symmetric generalized eigenvalue problem
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Publication:1578093
The author proposes a new method to find the smallest eigenvalue and the corresponding eigenvector of the generalized eigenvalue problem \(AX=\lambda BX\), where \(A\) and \(B\) are real symmetric matrices, and \(B\) is also positive definite. The method proceeds iteratively, and at each step it solves the problem in a subspace, then enlarges the subspace by means of the solution of the Newton secant equation, with the data from the subspace solution, when Newton's method is applied to find a solution that minimizes \[ \rho(X)= \frac{(X,AX)}{(X,BX)}. \] The method and some variants are tested in various examples and the convergence results are similar to those obtained by means of the Jacobi-Davidson method.
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Cited in
(9)- Conjugate gradient methods for the Rayleigh quotient minimization of generalized eigenvalue problems
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