Paper ID sheet UCL-INMA-2002.901
A Grassmann-Rayleigh quotient iteration for computing invariant subspaces
- P.-A. Absil, R. Mahony, R. Sepulchre, P. Van Dooren
The classical Rayleigh Quotient Iteration (RQI) allows one to compute a
one-dimensional invariant subspace of a symmetric matrix $A$.
Here we propose a generalization of the RQI which computes a
$p$-dimensional invariant subspace of $A$.
The cubic convergence is preserved and the cost per iteration is low
compared to other methods proposed in the literature.
- Key words
- SIAM Review, Vol. 44, No. 1, pp. 57-73 (2002). Related conference paper:
Proceedings of the 39th IEEE Conference on Decision and Control
(CDC 2000, Sydney).
- Further information