2D Eigenvalue Problem II: Rayleigh Quotient Iteration and Applications

09/24/2022

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by   Tianyi Lu, et al.

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In Part I of this paper, we introduced a 2D eigenvalue problem (2DEVP) and presented theoretical results of the 2DEVP and its intrinsic connetion with the eigenvalue optimizations. In this part, we devise a Rayleigh quotient iteration (RQI)-like algorithm, 2DRQI in short, for computing a 2D-eigentriplet of the 2DEVP. The 2DRQI performs 2× to 8× faster than the existing algorithms for large scale eigenvalue optimizations arising from the minmax of Rayleigh quotients and the distance to instability of a stable matrix.