Abstract
In certain circumstances, it is advantageous to use an optimization approach in order to solve the generalized eigenproblem, Ax = λBx, where A and B are real symmetric matrices and B is positive definite. In particular, this is the case when the matrices A and B are very large the computational cost, prohibitive, of solving, with high accuracy, systems of equations involving these matrices. Usually, the optimization approach involves optimizing the Rayleigh quotient.
We first propose alternative objective functions to solve the (generalized) eigenproblem via (unconstrained) optimization, and we describe the variational properties of these functions.
We then introduce some optimization algorithms (based on one of these formulations) designed to compute the largest eigenpair. According to preliminary numerical experiments, this work could lead the way to practical methods for computing the largest eigenpair of a (very) large symmetric matrix (pair).
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Mongeau, M., Torki, M. Computing Eigenelements of Real Symmetric Matrices via Optimization. Computational Optimization and Applications 29, 263–287 (2004). https://doi.org/10.1023/B:COAP.0000044182.33308.82
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DOI: https://doi.org/10.1023/B:COAP.0000044182.33308.82