Rational Spectral Filters with Optimal Convergence Rate

DOI10.1137/20M1313933MaRDI QIDQ5005202zbMATH OpenFDO

Authors Konrad Kollnig, Paolo Bientinesi, Edoardo Di Napoli

Publication date 9 August 2021

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

Full work available at URL https://arxiv.org/abs/2001.04184

zbMATH Keywords

BFGScontour-based eigensolverHermitian eigenvalue problemload balancingnonlinear least squaresworst-case convergence rate

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Computational methods for sparse matrices (65F50)

Cites work

• A filter diagonalization for generalized eigenvalue problems based on the Sakurai-Sugiura projection method
• A Limited Memory Algorithm for Bound Constrained Optimization
• A projection method for generalized eigenvalue problems using numerical integration.
• Algorithm 778: L-BFGS-B
• Approximating spectral densities of large matrices
• CIRR: a Rayleigh-Ritz method with contour integral for generalized eigenvalue problems
• Computing partial spectra with least-squares rational filters
• Contour integral eigensolver for non-Hermitian systems: a Rayleigh-Ritz-type approach
• Convergence of integration-based methods for the solution of standard and generalized Hermitian eigenvalue problems
• Convergence of the Nelder--Mead Simplex Method to a Nonstationary Point
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• Designing rational filter functions for solving eigenvalue problems by contour integration
• Detection and Remediation of Stagnation in the Nelder--Mead Algorithm Using a Sufficient Decrease Condition
• Dissecting the FEAST algorithm for generalized eigenproblems
• Efficient estimation of eigenvalue counts in an interval.
• Error bounds of Rayleigh-Ritz type contour integral-based eigensolver for solving generalized eigenvalue problems
• FEAST as a subspace iteration eigensolver accelerated by approximate spectral projection
• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• Krylov eigenvalue strategy using the FEAST algorithm with inexact system solves.
• On the singular values of matrices with displacement structure
• Parallel stochastic estimation method of eigenvalue distribution
• Remark on ``Algorithm 778: L-BFGS-B: Fortran subroutines for large-scale bound constrained optimization
• Spectral discretization errors in filtered subspace iteration
• The eigenvalues slicing library (EVSL): algorithms, implementation, and software
• The University of Florida sparse matrix collection
• Unconstrained Optimization of Real Functions in Complex Variables
• Zolotarev quadrature rules and load balancing for the FEAST eigensolver

Cited in

(3)

• Fast Randomized Non-Hermitian Eigensolvers Based on Rational Filtering and Matrix Partitioning
• Rational spectral filters with optimal convergence rate
• A CJ-FEAST GSVDsolver for computing a partial gsvd of a large matrix pair with the generalized singular values in a given interval

Describes a project that uses

Uses Software

• EVSL
• LBFGS-B
• NLopt
• L-BFGS-B
• fminsearch
• Complex Optimization Toolbox
• L-BFGS
• FEAST
• SparseMatrix
• CIRR
• GitHub

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