Randomized algorithms for generalized Hermitian eigenvalue problems with application to computing Karhunen-Loève expansion

Summary We describe randomized algorithms for computing the dominant eigenmodes of the generalized Hermitian eigenvalue problem Ax = λBx, with A Hermitian and B Hermitian and positive definite. The algorithms we describe only require forming operations Ax,Bx and B−1x and avoid forming square roots o...

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Bibliographic Details

Published in:	Numerical linear algebra with applications Vol. 23; no. 2; pp. 314 - 339
Main Authors:	Saibaba, Arvind K., Lee, Jonghyun, Kitanidis, Peter K.
Format:	Journal Article
Language:	English
Published:	Oxford Blackwell Publishing Ltd 01.03.2016 Wiley Subscription Services, Inc
Subjects:	Algorithms Approximation Computation Eigenvalues Error analysis Expansion Forming generalized Hermitian eigenvalue problems Karhunen-Loeve expansion Karhunen-Loève expansion Mathematical analysis Matrix Randomized algorithms
ISSN:	1070-5325, 1099-1506
Online Access:	Get full text
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