CUED Publications database

A Grassmann-Rayleigh quotient iteration for computing invariant subspaces

Absil, PA and Mahony, R and Sepulchre, R and Van Dooren, P (2002) A Grassmann-Rayleigh quotient iteration for computing invariant subspaces. SIAM Review, 44. pp. 57-73. ISSN 0036-1445

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Abstract

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. Cubic convergence is preserved and the cost per iteration is low compared to other methods proposed in the literature.

Item Type: Article
Subjects: UNSPECIFIED
Divisions: Div F > Control
Depositing User: Cron Job
Date Deposited: 18 May 2016 17:41
Last Modified: 27 May 2016 00:00
DOI: