Parlett, B. N. | Search NASA

NASA NTRS1978

The Lanczos algorithm with selective orthogonalization

A new stable and efficient implementation of the Lanczos algorithm is presented. The algorithm is a powerful method for finding a few eigenvalues and eigenvectors at one or both ends of the spectrum of a symmetric matrix A. The algorithm is particularly effective if A is large and sparse in that the only way in which A enters the calculation is through a subroutine which computes Av for any vector v. Thus the user is free to take advantage of any sparsity structure in A and A need not even be represented as a matrix et al.

Parlett, B. N.↗

NASA NTRS1973

A geometric theory for the QR, LU and power iterations.

Consideration of the task of computing the invariant subspaces of a given matrix. For this purpose the LU, QR, treppen and bi-iterations have been presented, used, and studied more or less independently of the old-fashioned power method. Each of these methods generates implicitly a sequence of subspaces which determines the convergence properties of the method. The iterations differ in the way in which a basis is constructed to represent each subspace. This aspect largely determines the usefulness of the method. It is shown that the first four iterations produce exactly the same sequence of subspaces as do direct and inverse iteration started from appropriate subspaces. Their convergence properties are therefore the same, and a complete geometric convergence theory is presented in terms of the power method. It is shown that Hessenberg matrices are associated with ideal starting spaces.

Parlett, B. N.↗