A geometric theory for preconditioned inverse iteration applied to a subspace

Neymeyr, Klaus

doi:10.1090/S0025-5718-01-01357-6

A geometric theory for preconditioned inverse iteration applied to a subspace
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Math. Comp. 71 (2002), 197-216 Request permission

Abstract:

The aim of this paper is to provide a convergence analysis for a preconditioned subspace iteration, which is designated to determine a modest number of the smallest eigenvalues and its corresponding invariant subspace of eigenvectors of a large, symmetric positive definite matrix. The algorithm is built upon a subspace implementation of preconditioned inverse iteration, i.e., the well-known inverse iteration procedure, where the associated system of linear equations is solved approximately by using a preconditioner. This step is followed by a Rayleigh–Ritz projection so that preconditioned inverse iteration is always applied to the Ritz vectors of the actual subspace of approximate eigenvectors. The given theory provides sharp convergence estimates for the Ritz values and is mainly built on arguments exploiting the geometry underlying preconditioned inverse iteration.

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