Small-sample statistical condition estimation of large-scale generalized eigenvalue problems

DOI10.1016/J.CAM.2015.11.022MaRDI QIDQ908367zbMATH OpenOpenAlexFDO

Authors Peter Chang-Yi Weng, Frederick K. H. Phoa

Publication date 4 February 2016

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2015.11.022

zbMATH Keywords

Newton's methodgeneralized eigenvalue problemSylvester equationlarge-scale problemstatistical condition estimationdeflating subspacelarge and sparse real matrix

Mathematics Subject Classification ID

Point estimation (62F10) Computational methods for sparse matrices (65F50) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Numerical computation of matrix norms, conditioning, scaling (65F35) Conditioning of matrices (15A12) Matrix equations and identities (15A24)

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Cites work

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• scientific article; zbMATH DE number 961607 (Why is no real title available?)
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• A synopsis of Monte Carlo perturbation algorithms
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• An Estimate for the Condition Number of a Matrix
• Application of ADI Iterative Methods to the Restoration of Noisy Images
• Block Krylov subspace methods for solving large Sylvester equations
• Condition Estimates
• Cross-Gramian based model reduction for data-sparse systems
• Error and Perturbation Bounds for Subspaces Associated with Certain Eigenvalue Problems
• Estimating Extremal Eigenvalues and Condition Numbers of Matrices
• Expected Conditioning
• FORTRAN codes for estimating the one-norm of a real or complex matrix, with applications to condition estimation
• Generalized Deflated Block-Elimination
• Improving the Accuracy of Computed Eigenvalues and Eigenvectors
• Improving the Efficiency of Matrix Operations in the Numerical Solution of Stiff Ordinary Differential Equations
• Iterative solution of the Lyapunov matrix equation
• Krylov-subspace methods for the Sylvester equation
• Mixed block elimination for linear systems with wider borders
• Normal Multivariate Analysis and the Orthogonal Group
• On the Perturbation of Pseudo-Inverses, Projections and Linear Least Squares Problems
• On the Sensitivity of the Eigenvalue Problem $Ax = \lambda Bx$
• Parallel computations of eigenvalues based on a Monte Carlo approach
• Refining estimates of invariant and deflating subspaces for large and sparse matrices and pencils
• Small-Sample Statistical Condition Estimates for General Matrix Functions
• Small-Sample Statistical Estimates for Matrix Norms
• Small-Sample Statistical Estimates for the Sensitivity of Eigenvalue Problems
• Solution of Lyapunov equations by alternating direction implicit iteration
• Statistical Condition Estimation for Linear Least Squares
• Statistical Condition Estimation for Linear Systems
• Stochastic Perturbation Theory
• Three methods for refining estimates of invariant subspaces

Cited in

(8)

• Fast Condition Estimation for a Class of Structured Eigenvalue Problems
• Effective condition numbers and small sample statistical condition estimation for the generalized Sylvester equation
• Applications of statistical condition estimation to the solution of linear systems
• Small-Sample Statistical Condition Estimates for General Matrix Functions
• Mixed, componentwise condition numbers and small sample statistical condition estimation of Sylvester equations
• Statistical condition estimation for the roots of polynomials
• Tackling Small Eigen-Gaps: Fine-Grained Eigenvector Estimation and Inference Under Heteroscedastic Noise
• Mixed, componentwise condition numbers and small sample statistical condition estimation for generalized spectral projections and matrix sign functions

Describes a project that uses

Uses Software

• CONEST
• SONEST
• Algorithm 674
• mctoolbox
• Matlab

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