An implicit Riemannian Trust-Region method for the symmetric generalized eigenproblem

Abstract

The recently proposed Riemannian Trust-Region method can be applied to the problem of computing extreme eigenpairs of a matrix pencil, with strong global convergence and local convergence properties. This paper addresses inherent inefficiencies of an explicit trustregion mechanism. We propose a new algorithm, the Implicit Riemannian Trust-Region method for extreme eigenpair computation, which seeks to overcome these inefficiencies while still retaining the favorable convergence properties. © Springer-Verlag Berlin Heidelberg 2006.