Algorithm 845: EIGIFP: a MATLAB program for solving large symmetric generalized eigenvalue problems
ACM Transactions on Mathematical Software (TOMS)
Preconditioned Lanczos method for generalized Toeplitz eigenvalue problems
Journal of Computational and Applied Mathematics
Journal of Computational and Applied Mathematics
A truncated-CG style method for symmetric generalized eigenvalue problems
Journal of Computational and Applied Mathematics
PRIMME: preconditioned iterative multimethod eigensolver—methods and software description
ACM Transactions on Mathematical Software (TOMS)
Convergence Analysis of Iterative Solvers in Inexact Rayleigh Quotient Iteration
SIAM Journal on Matrix Analysis and Applications
ICIAR'06 Proceedings of the Third international conference on Image Analysis and Recognition - Volume Part II
Lagrangian Duality and Branch-and-Bound Algorithms for Optimal Power Flow
Operations Research
An inexact spectral bundle method for convex quadratic semidefinite programming
Computational Optimization and Applications
A Rayleigh-Ritz style method for large-scale discriminant analysis
Pattern Recognition
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In this paper, we present an inverse free Krylov subspace method for finding some extreme eigenvalues of the symmetric definite generalized eigenvalue problem $Ax = \lambda B x$. The basic method takes a form of inner-outer iterations and involves no inversion of B or any shift-and-invert matrix $A-\lambda_0 B$. A convergence analysis is presented that leads to a preconditioning scheme for accelerating convergence through some equivalent transformations of the eigenvalue problem. Numerical examples are given to illustrate the convergence properties and to demonstrate the competitiveness of the method.