2D Eigenvalue Problem III: Convergence Analysis of the 2D Rayleigh Quotient Iteration
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Publication:6428987
arXiv2303.05357MaRDI QIDQ6428987FDOQ6428987
Authors: Tianyi Lu, Yangfeng Su, Zhaojun Bai 
Publication date: 9 March 2023
Abstract: In Part I of this paper, we introduced a two dimensional eigenvalue problem (2DEVP) of a matrix pair and investigated its fundamental theory such as existence, variational characterization and number of 2D-eigenvalues. In Part II, we proposed a Rayleigh quotient iteration (RQI)-like algorithm (2DRQI) for computing a 2D-eigentriplet of the 2DEVP near a prescribed point, and discussed applications of 2DEVP and 2DRQI for solving the minimax problem of Rayleigh quotients, and computing the distance to instability. In this third part, we present convergence analysis of the 2DRQI. We show that under some mild conditions, the 2DRQI is locally quadratically convergent for computing a nonsingular 2D-eigentriplet.
Numerical optimization and variational techniques (65K10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)
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