Questions tagged [eigenvalues]

Eigenvalues are a special set of scalars associated with a linear system of equations (i.e., a matrix equation) that are sometimes also known as characteristic roots, characteristic values (Hoffman and Kunze 1971), proper values, or latent roots (Marcus and Minc 1988, p. 144).

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438 views

Applying Dirichlet b.c. to the Eigenvalue-Problem

If you use a FEM (on the variational formulation), you can discretize some continuous eigenvalue problem, $$L u = \lambda u \ \ \text{on} \ \Omega,$$ into some discrete, generalized eigenvalue problem,...
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141 views

Numerical solution of two coupled nonlinear eigenvalue problems

I would like to numerically solve the following system of coupled nonlinear differential equations: $$ -\frac{\hbar^2}{2m_a} \frac{\partial^2}{\partial x^2}\psi_a + V_{ext}\psi_a + \left( g_a |...
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1answer
245 views

Eigenvectors of slightly perturbed matrix

Assume I know eigen-pairs $(\epsilon_i,\vec\phi_i)$ for matrix operator $\hat H$ that $ \hat H \vec \phi_i = \epsilon_i \vec \phi_i $ Now I have slightly perturbed $\hat H' = \hat H + \hat R$ were ...
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148 views

An optimization method for bounding the eigenvalues of a unknown non symmetric matrix

Given a positive objective function $f$ that acts on a real-valued matrix $A$, I am interested in the following problem $$\underset{A \in \mathbb{R}^{n \times n}}{\text{minimize}} \quad f(A) \quad \...
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1answer
140 views

Computing eigendecomposition of a Hermitian matrix that is almost unitary

I have a dense Hermitian matrix that is approximately unitary, so it has eigenvalues that are $\sim \pm1$. I would like to compute all the eigenvectors corresponding to the $+1$ eigenvalue (not ...
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1answer
808 views

Eigenvalue Decomposition of Hermitian Matrix in Scala

I'm working on helping my friend create code to perform the Overlap Dirac Operator and have come across one part that I'm not sure what to do. I need to compute the Eigenvalues and corresponding ...
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74 views

Efficient way to find eigenvalues of complex symmetric matrix with real off-diagonal elements

My goal is to find all eigenvalues (and eigenvectors) in a given range of magnitudes of a complex symmetric matrix with real off-diagonal elements (only diagonal elements are complex). Currently I'm ...
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76 views

Improving convergence of Jacobi iteration to Schur form

I'm using SIMD processor arrays to compute the eigen-decomposition for large numbers of small (up to $32\times 32$) matrices. For assorted technical reasons, Jacobi iteration maps well to the SIMD ...
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152 views

Multi-matrix orthogonal basis problem

Suppose we are given a set of symmetric, positive definite matrices $A_1,A_2,\ldots,A_k\in\mathbb{R}^{n\times n}$. Is there any numerical method or reduction to a known problem (e.g. eigenvalue ...
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1answer
456 views

Numerically find the nearest positive semi definite matrix to a symmetric matrix

I have a symmetric matrix $M$ which I want to numerically project onto the positive semi definite cone. To do so, I decompose it into $M = QDQ^T$ and transform all negative eigenvalues to zero. (...
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247 views

What is the most efficient way to obtain the max eigenvalue of a specific symmetric matrix via Eigen C++

Suppose I have a symmetric matrix $A_{1000\times 1000}$, which can be represented by: $A = J G J^T$ where $J$ in 1000x3 is full column rank dense matrix; $G$ in 3x3 is a nonsingular dense matrix. ...
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628 views

Solving Coupled ODE eigenvalue problem

I've been trying to find some resources that would help me figure out how to numerically solve a coupled system of ODEs which is also an eigenvalue problem. The system is something like: $ \tag{1} ...
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2answers
141 views

Singular values of $X$ in $AX+XA=C$?

Suppose I have semi-positive definite matrices $A$ and $C$, is there an efficient approach to get top singular values of X entering the following expression? $$ AX+XA=C $$ My matrices are 4k-by-4k ...
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1answer
368 views

Nystrom approximation of SVD for asymmetric matrices

Suppose I have a symmetric matrix $K$. Subdivide $K$ into pieces as $$K=\begin{pmatrix} K_{11} & K_{12} \\ K_{21} & K_{22}\end{pmatrix},$$ where $K_{21}=K_{12}^\top$. Then, the Nystrom ...
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166 views

Is it possible to use Eigtool for generalized problem pseudospectra?

I would like to use the Eigtool of professor Trefethen for pseudospectra but I have a generalized eigenvalue problem to solve: $$ \lambda M x = K x. $$ It seems that Eigtool takes only one matrix as ...
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504 views

Derivative of a generalized eigenvalue problem

I want to compute the derivative of a generalized eigenvalue $\lambda$ which is solution of $A u = \lambda Bu$ ($A,B,u,\lambda$ all depend on $t$; in my case $A,B$ are known explicitly, and the ...
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2k views

Eigenvectors: MATLAB vs LAPACK DGGEV or DGGEVX

If we call LAPACK DGGEV or DGGEVX routines for two badly-conditioned matrices in a C++ code, will we get the same eigen-values &...
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1answer
746 views

How to improve this double-shift QR algorithm for non-symmetric matrices?

I've implemented a version of the double-shift QR algorithm featured in this report from ETH Zurich (Begins on page 77). The algorithm takes advantage of the Implicit Q theorem by applying an ...
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1answer
358 views

Finding interior eigenvalues using Davidson algorithm

Is it possible to find interior eigenvalues closer to some lambda using Davidson method? I was searching online but found that most people use Jacobi-Davidson method for that.
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66 views

Solver for generalized eigenvalue problem with multipoint constraints

We have the following generalized eigenvalue (set of) problem(s) $$[K_R(\kappa)]\{u_R\} = \omega^2[M_R(\kappa)]\{u_R\}\quad \forall \kappa \in [\kappa_0, \kappa_1]$$ with \begin{align} &K_R(\...
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1answer
99 views

Compute specific eigenvalues in the complex plane with Feast?

In physical problems, it's quite common that we need to solve for specific eigenvalues in the complex plane, e.g. with a positive real part and negative imaginary part. In this case, we are looking ...
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2D Schrödinger time-independent finite difference and eigenvalues

I'm learning about numerical methods to obtain the eigenvalues of a system. I have to find the eigenvalues for the time-independent Schrödinger equation but I'm having some difficulties understanding ...
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377 views

Accuracy of numerical methods in finding eigenvalues

I have a problem with assesing the accuracy of my numerical calculation. I have a 2nd order ODE. It is an eigenvalue problem of the form: $$ y'' + ay' + \lambda^2y = 0, $$ and the boundary condiations ...
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1answer
133 views

Correctly orthogonalizing and normalizing eigenvectors of a non-hermitian problem

I have some non-hermitian matrix $A$, that I have the left and right eigenvectors. (Calculated using SLEPc, by finding the eigenvectors of $A$ and $A^H$). I'm not sure how to orthogonalize them ...
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174 views

Eigenvalues of a Laplacian operator on an irregular mesh

I have the following setting: An irregularly-shaped domain, expressed as a mesh of points A Laplacian operator, together with boundary conditions I am looking for the eigenvalues of that operator, i....
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160 views

Eigenvalue-style optimization with quadratic constraints

Suppose $A\in\mathbb{R}^{n\times n}$ is symmetric and positive definite and that we have several symmetric matrices $B_i\in\mathbb{R}^{n\times n}$ that are low-rank and indefinite. I need an ...
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3answers
216 views

Derive the formula for eigenvalues

If $A$ has eigenvalue $\lambda_A$ $$B = I - c\frac{I-rA}{I-\bar{r}A}$$ How to derive the eigenvalue $\lambda_B$? $$\lambda_B=1-c\frac{1-r\lambda_A}{1-\bar{r}\lambda_A}$$ where $c, r, \bar{r}$ are ...
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227 views

Convexity of Sum of $k$-smallest Eigenvalue

If I have a real positive definite matrix $A\in\mathbb{R}^{n\times n}$, and denote its eigenvalues as $\lambda_1\leq \lambda_2 \leq ... \leq \lambda_n $. Define the function as $f(A)=\sum_{i=1}^{k} \...
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4k views

Eigen - Max and minimum eigenvalues of a sparse matrix

I am working with an Eigen::SparseMatrix matrix of type double. I would like to find the largest and the smallest eigenvalues. A solution of the problem is to convert it to dense and then find its ...
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1k views

Stabilizing a 3x3 real symmetric matrix eigenvalue calculation

I have many 3x3 real symmetric matrices for which I need to determine the eigenvalues. Wikipedia gives a nice non-iterative algorithm for this case, which I have translated into C++: ...
3
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1answer
147 views

Implementation of a $O(n \log(n))$ method to compute eigenvalues of real symmetric tridiagonal matrices

I just came upon this paper, which details the implementation of a fast method to get eigenvalues of tridiagonal symmetric matrices : Coakley, Ed S.; Rokhlin, Vladimir, A fast divide-and-conquer ...
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151 views

what do zero real parts of eigenvalues mean? Any good references?

I am solving a 1D advection problem of the the form $$dQ/dt=[A]Q$$ where {Q} is the vector of unknowns and [A] is the matrix of coefficients of spatial discretisation. I have worked out the ...
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3answers
188 views

Eigenvectors of Black-box matrix

$\DeclareMathOperator{\diag}{diag}$ Consider the generalized eigenproblem $A\mathbf{x}=\lambda B\mathbf{x}$. When solving PDEs numerically (specifically, I am interested on finding the Dirichlet ...
3
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1answer
89 views

Efficient solution to a structured symmetric linear system with condition number estimation

I have a real-valued linear system $Hx = b$ where $H$ is symmetric matrix** (not necessarily positive/negative definite) with a very particular structure: $$ H = \begin{bmatrix} D && B \\ B^T &...
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2answers
468 views

Fast and accurate eigenvalue computation for 3x3 posdef matrices

I am looking for a very fast and efficient algorithm for the computation of the eigenvalues of a $3\times 3$ symmetric positive definite matrix. The algorithm will be part of a massive computational ...
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2answers
304 views

Using a subspace iteration method to obtain eigenvalues. Getting eigenvectors too but I don't understand why

I'm using an iterative subspace algorithm (dsrrit) to obtain the eigenvalues of an eigenvector equation $$ -\nabla^2 \mathbf{x} = \lambda\mathbf{x} $$ where $\nabla^2$ is the usual Laplacian operator. ...
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2answers
222 views

Determine numerical infinity for Schrodinger equation $−\psi''(x) + x^ 2 \psi(x) = E\psi(x)$

Consider the following Schrodinger equation for the harmonic oscillator with real $x$: $$ −ψ''(x) + x^ 2 ψ(x) = Eψ(x). $$ I solve the last equation using shooting method and implicit Runge-Kutta ...
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1answer
966 views

Power Iteration over Rayleigh Quotient Iteration?

It is a commonly known fact that the Rayleigh Quotient converges cubically (1), while the Power Iteration may converge slowly if the difference between the dominant and second-dominant eigenvalue is ...
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1answer
1k views

Comparing Eigenvectors, Mathematica vs. Matlab

I am trying to create the same outputs in Mathematica and Matlab, however I am running into trouble aligning the eigenvectors with the eigenvalues, I think the Matlab is doing something slightly more ...
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1answer
439 views

Jacobi Iteration diverges?

I'm working through a problem in a textbook as follows: "Consider the $d \times d$ Toeplitz matrix $$ A = \left[ \begin{array}{ccccc} 2 & 1 & 0 & \cdots & 0 \\ -1 &2 &1&\...
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2answers
366 views

Known issues with eigenvalue numerics?

Are there any known issues (such as precision issues) with $\mathsf{MATLAB}$ eig and charpoly functions for large enough $\{-1,0,+1\}$ matrices? Even if I change $1$ or $2$ entries between matrices ...
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1answer
613 views

Eigenvalues and Timestep restriction

For an equation of the kind $u_t=Au$, time step is usually defined by ensuring that the eigenvalues are within the stability region of the time-stepping scheme employed. If the eigenvalues are on ...
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1answer
1k views

Fast way to compute all eigenvalues of a dense Hermitian matrix

I am finding the eigenvalues of dense NxN Hermitian matrix which is calculated from a density operator in quantum physics. All the eigenvalues are needed as I need to calculate the sum of the absolute ...
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1answer
642 views

Generalized eigenvalue problem using ARPACK

Is it possible to solve the eigenvalue problem: $$Ax = \lambda Mx$$ using ARPACK when $A$ and $M$ are both non-symmetric complex matrices? According to this documentation, the function ...
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1answer
153 views

What is the worst case complexity of the symmetric tridiagonal QR eigenvalue algorithm?

Ignoring eigenvectors, the shifted QR algorithm for computing eigenvalues in the symmetric tridiagional case costs $O(n)$ per iteration, converges globally, and converges cubically near the end. What ...
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1answer
111 views

Analytic formula for leading eigenvector of $uu^T + vv^T$?

Let $u$ and $v$ be nonzero column vectors of size $n$ and consider the $n \times n$ positive-definite matrix $A:=uu^T + vv^T$. In this post https://math.stackexchange.com/a/112201/168758, the ...
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1answer
84 views

Efficient computation of leading eigenvector of a matrix product of the form $ADA^T$, where $D$ is diagonal

Let $A=[A_1|\ldots|A_m] \in \mathbb R^{n \times m}$ with $n \gg m \gg 1$ and $D=\text{diag}(d_1,\ldots,d_m)$ where $d_1,\ldots,d_m > 0$, and consider the $n\times n$ positive-definite matrix $X=\...
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1answer
195 views

Compute nearly degenerated eigen values and vectors

In a quantum physics calculation, I have to deal with a matrix that has a lot of eigenvalues really close to each other ($10^{-6}$ relative difference for example) and I can't manage to obtain ...
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2answers
1k views

Finding eigenvalues of a complex symmetric tridiagonal matrix

I am trying to find specific eigenvalues and -vectors of a large complex symmetric tridiagonal matrix (at least 10000x10000, and ideally larger). I know roughly which eigenvalues I am looking for, so ...
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1answer
351 views

linear stability analysis using spectral radius

I am analysing the stability of a series of 1D linear equations of the form \begin{equation} \frac{d}{dt} x = A x \end{equation} discretised using upwind and central finite volume methods, etc, with ...