Calculating the minimal/maximal eigenvalue of symmetric parameterized matrices using projection

DOI10.1002/NLA.2263zbMATH Open1474.65088arXiv1904.09923OpenAlexW2963601828WikidataQ127435704 ScholiaQ127435704MaRDI QIDQ5206498FDOQ5206498

Authors: Koen Ruymbeek, Karl Meerbergen, Wim Michiels 

Publication date: 18 December 2019

Published in: Numerical Linear Algebra with Applications (Search for Journal in Brave)

Abstract: In applications of linear algebra including nuclear physics and structural dynamics, there is a need to deal with uncertainty in the matrices. We focus on matrices that depend on a set of parameters $omega$ and we are interested in the minimal eigenvalue of a matrix pencil $(A,B)$ with $A,B$ symmetric and $B$ positive definite. If $omega$ can be interpreted as the realisation of random variables, one may be interested in statistical moments of the minimal eigenvalue. In order to obtain statistical moments, we need a fast evaluation of the eigenvalue as a function of $omega$. Since this is costly for large matrices,we are looking for a small parametrized eigenvalue problem whose minimal eigenvalue makes a small error with the minimal eigenvalue of the large eigenvalue problem. The advantage, in comparison with a global polynomial approximation (on which, e.g., the polynomial chaos approximation relies), is that we do not suffer from the possible non-smoothness of the minimal eigenvalue. The small scale eigenvalue problem is obtained by projection of the large scale problem. Our main contribution is that for constructing the subspace we use multiple eigenvectors as well as derivatives of eigenvectors.We provide theoretical results and document numerical experiments regarding the beneficial effect of adding multiple eigenvectors and derivatives.

Full work available at URL: https://arxiv.org/abs/1904.09923

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zbMATH Keywords

symmetric matricesglobal approximationminimal eigenvaluegeneralized eigenvalue problems

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Cited In (3)

• An efficient reduced‐order method for stochastic eigenvalue analysis
• Subspace acceleration for large-scale parameter-dependent Hermitian eigenproblems
• Tensor-Krylov method for computing eigenvalues of parameter-dependent matrices

Uses Software

• Matlab

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