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CG may be used to estimate the extremal eigenvalues of a SPD matrix (by computing eigenvalues of tridiagonal matrix associated with the Lanczos algorithm). After a few iterations the largest eigenvalue is generally well approximated whereas the smallest is generally overestimated.

Is there a way to have some estimate of the quality of those approximate eigenvalues?

Thank you.

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Please see this paper from this question. – Jack Poulson Oct 5 '12 at 16:47
What exactly do you mean by the "quality" of the approximation? – Paul♦ Oct 5 '12 at 17:33
@JackPoulson - I'm okay with letting this stand as a separate question, do you mind moving your comment to an answer? – Aron Ahmadia Oct 6 '12 at 3:42
I would like to have some lower and upper bounds on the approximation I get. I'll have a look to the paper, thank you ! – Tom Oct 8 '12 at 6:33

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