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A Grassmann-Rayleigh Quotient Iteration for Computing Invariant Subspaces

Absil, P-A; Mahony, Robert; Sepulchre, R; Van Dooren, P


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.

CollectionsANU Research Publications
Date published: 2002
Type: Journal article
Source: SIAM Review


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