2002 • Journal Article
A Grassmann-Rayleigh quotient iteration for computing invariant subspaces
Authors:
Absil, Pierre-Antoine ,
Mahony, R.,
Sepulchre, Rodolphe,
Van Dooren, Paul
Published in:
SIAM Review
Volume: 44 • Number: 1 • Pages: 57-73
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 RQl 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.