Jacobi-Davidson method on low-rank matrix manifolds

DOI10.1137/17M1123080zbMATH Open1386.65113arXiv1703.09096OpenAlexW2603159457WikidataQ129921807 ScholiaQ129921807MaRDI QIDQ4637679FDOQ4637679

Authors: M. V. Rakhuba, Ivan Oseledets 

Publication date: 25 April 2018

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Abstract: In this work we generalize the Jacobi-Davidson method to the case when eigenvector can be reshaped into a low-rank matrix. In this setting the proposed method inherits advantages of the original Jacobi-Davidson method, has lower complexity and requires less storage. We also introduce low-rank version of the Rayleigh quotient iteration which naturally arises in the Jacobi-Davidson method.

Full work available at URL: https://arxiv.org/abs/1703.09096

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zbMATH Keywords

Jacobi-Davidsonlow-rank approximationeigenvalue problemRiemannian optimization

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Multilinear algebra, tensor calculus (15A69) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Methods of local Riemannian geometry (53B21)

Cites Work

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Cited In (9)

• Revisiting the low-rank eigenvalue problem
• Low-rank Riemannian eigensolver for high-dimensional Hamiltonians
• Computing eigenspaces with low rank constraints
• Automatic differentiation for Riemannian optimization on low-rank matrix and tensor-train manifolds
• Low-rank tensor methods for partial differential equations
• Implicit low-rank Riemannian schemes for the time integration of stiff partial differential equations
• Geometric Methods on Low-Rank Matrix and Tensor Manifolds
• Computing low-rank rightmost eigenpairs of a class of matrix-valued linear operators
• Riemannian multigrid line search for low-rank problems

Uses Software

• LOBPCG
• JDCG
• TT Toolbox

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