Disguised and new quasi-Newton methods for nonlinear eigenvalue problems

Abstract

In this paper, we take a quasi-Newton approach to nonlinear eigenvalue problems (NEPs) of the type M(λ)v = 0, where M: ℂ→ ℂn×n is a holomorphic function. We investigate which types of approximations of the Jacobian matrix lead to competitive algorithms, and provide convergence theory. The convergence analysis is based on theory for quasi-Newton methods and Keldysh’s theorem for NEPs. We derive new algorithms and also show that several well-established methods for NEPs can be interpreted as quasi-Newton methods, and thereby, we provide insight to their convergence behavior. In particular, we establish quasi-Newton interpretations of Neumaier’s residual inverse iteration and Ruhe’s method of successive linear problems.