Solution of large, dense symmetric generalized eigenvalue problems using secondary storage

Authors:
Roger G. Grimes;Horst D. Simon
Affiliations:
Boeing Computer Services, Seattle, WA;NASA Ames Research Center, Moffett Field, CA
Venue:
ACM Transactions on Mathematical Software (TOMS)
Year:
1988

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Abstract

This paper describes a new implementation of algorithms for solving large, dense symmetric eigen-problems AX = BX&Lgr;, where the matrices A and B are too large to fit in the central memory of the computer. Here A is assumed to be symmetric, and B symmetric positive definite. A combination of block Cholesky and block Householder transformations are used to reduce the problem to a symmetric banded eigenproblem whose eigenvalues can be computed in central memory. Inverse iteration is applied to the banded matrix to compute selected eigenvectors, which are then transformed back to eigenvectors of the original problem. This method is especially suitable for the solution of large eigenproblems arising in quantum physics, using a vector supercomputer with fast secondary storage device such as the Cray X-MP with SSD. Some numerical results demonstrate the efficiency of the new implementation.