New algorithms for computing the minimum eigenpair of the generalized symmetric eigenvalue problem

Research output: Contribution to journalConference articlepeer-review

Abstract

Novel methods for computing the minimal eigenvalue of a symmetric positive-definite matrix are presented. The smallest eigenpair (eigenvalue and corresponding eigenvector) of a covariance matrix are computed using the techniques of constrained optimization and higher order root iteration methods. An implementation that relies on QR factorization and less on matrix inversion is presented. This approach can also be used to compute the largest eigenpair by appropriately choosing the initial condition and also can be shown to be applicable to any hermitian matrix. Several randomly generated test problems are used to evaluate the performance and the computational cost of the methods.

Original languageEnglish (US)
Pages (from-to)IV/767-IV/770
JournalProceedings - IEEE International Symposium on Circuits and Systems
Volume4
StatePublished - Jan 1 2002
Event2002 IEEE International Symposium on Circuits and Systems - Phoenix, AZ, United States
Duration: May 26 2002May 29 2002

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