Small-sample statistical condition estimation of large-scale generalized eigenvalue problems

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:298

Article

Weng, Peter Chang-Yi¹  Phoa, Frederick Kin Hing¹ 

[1] Acad Sinica, Inst Stat Sci, Taipei, Taiwan

关键词: Statistical condition estimation;    Generalized eigenvalue problem;    Deflating subspace;    Large-scale problem;    Sylvester equation;    Newton's method;   

DOI  :  10.1016/j.cam.2015.11.022

来源: Elsevier

【 摘 要 】

We consider the evaluation of the sensitivity or condition number of (generalized) eigenvalue problems for a large and sparse real matrix (or matrix pair) in R-nxn, through some (coupled) Sylvester equation using Newton's method. The technique of the statistical condition estimation has been adapted to the sensitivity of symmetric matrices as well as general matrices with special structures under some assumptions on various types of perturbations. (C) 2015 Elsevier B.V. All rights reserved.

【 授权许可】

Free