Descent methods for optimization on homogeneous manifolds
Mathematics and Computers in Simulation
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A generalization of the cyclic Jacobi algorithm is proposed that works in an arbitrary compact Lie algebra. This allows, in particular, a unified treatment of Jacobi algorithms on different classes of matrices, e.g., skew-symmetric or skew-Hermitian Hamiltonian matrices. Wildberger has established global, linear convergence of the algorithm for the classical Jacobi method on compact Lie algebras. Here we prove local quadratic convergence for general cyclic Jacobi schemes.