A homogeneous Rayleigh quotient with applications in gradient methods

06/27/2022

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by   Giulia Ferrandi, et al.

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Given an approximate eigenvector, its (standard) Rayleigh quotient and harmonic Rayleigh quotient are two well-known approximations to the corresponding eigenvalue. We propose a new type of Rayleigh quotient, the homogeneous Rayleigh quotient, and analyze its sensitivity with respect to perturbations in the eigenvector. Furthermore, we study the inverse of this homogeneous Rayleigh quotient as stepsize for the gradient method for unconstrained optimization. The notion and basic properties are also extended to the generalized eigenvalue problem.