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2006 | OriginalPaper | Chapter
An Implicit Riemannian Trust-Region Method for the Symmetric Generalized Eigenproblem
Authors : C. G. Baker, P. -A. Absil, K. A. Gallivan
Published in: Computational Science – ICCS 2006
Publisher: Springer Berlin Heidelberg
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The recently proposed Riemannian Trust-Region method can be applied to the problem of computing extreme eigenpairs of a matrix pencil, with strong global convergence and local convergence properties. This paper addresses inherent inefficiencies of an explicit trust-region mechanism. We propose a new algorithm, the Implicit Riemannian Trust-Region method for extreme eigenpair computation, which seeks to overcome these inefficiencies while still retaining the favorable convergence properties.